IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-642-18412-3_2.html
   My bibliography  Save this book chapter

Ambit Processes and Stochastic Partial Differential Equations

In: Advanced Mathematical Methods for Finance

Author

Listed:
  • Ole E. Barndorff-Nielsen

    (Aarhus University, Thiele Center, Department of Mathematical Sciences and CREATES, School of Economics and Management)

  • Fred Espen Benth

    (University of Oslo, Centre of Mathematics for Applications
    University of Agder, Faculty of Economics)

  • Almut E. D. Veraart

    (Aarhus University, CREATES, School of Economics and Management)

Abstract

Ambit processes are general stochastic processes based on stochastic integrals with respect to Lévy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection between ambit processes and solutions to stochastic partial differential equations. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of the Lévy noise analysis.

Suggested Citation

  • Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2011. "Ambit Processes and Stochastic Partial Differential Equations," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 35-74, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-18412-3_2
    DOI: 10.1007/978-3-642-18412-3_2
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-642-18412-3_2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.