Ambit processes and stochastic partial differential equations
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.
|Date of creation:||27 Apr 2010|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.econ.au.dk/afn/|
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- Almut Veraart, 2008.
"Inference for the jump part of quadratic variation of Itô semimartingales,"
CREATES Research Papers
2008-17, Department of Economics and Business Economics, Aarhus University.
- Veraart, Almut E.D., 2010. "Inference For The Jump Part Of Quadratic Variation Of Itô Semimartingales," Econometric Theory, Cambridge University Press, vol. 26(02), pages 331-368, April.
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