Ambit processes and stochastic partial differential equations
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Abstract
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References listed on IDEAS
- 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.
- 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.
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Cited by:
- Fred Espen Benth & Paul Kruhner, 2014. "Derivatives pricing in energy markets: an infinite dimensional approach," Papers 1412.7943, arXiv.org.
- Ole E. Barndorff-Nielsen, 2016. "Assessing Gamma kernels and BSS/LSS processes," CREATES Research Papers 2016-09, Department of Economics and Business Economics, Aarhus University.
- Fred Espen Benth & Heidar Eyjolfsson, 2015. "Representation and approximation of ambit fields in Hilbert space," Papers 1509.08272, arXiv.org.
- Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2013. "Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes," Papers 1307.6332, arXiv.org.
- Pakkanen, Mikko S., 2014. "Limit theorems for power variations of ambit fields driven by white noise," Stochastic Processes and their Applications, Elsevier, vol. 124(5), pages 1942-1973.
- Fred Espen Benth & Heidar Eyjolfsson, 2016. "Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations," Papers 1602.02907, arXiv.org.
More about this item
Keywords
Ambit processes; stochastic partial differential equations; Lévy bases; Lévy noise; Walsh theory of martingale measures; turbulence; finance;JEL classification:
- C0 - Mathematical and Quantitative Methods - - General
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2010-05-08 (All new papers)
- NEP-ORE-2010-05-08 (Operations Research)
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