EXTOL
发表于 2025-3-23 13:29:42
Book 2018f ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context...Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling..
Pituitary-Gland
发表于 2025-3-23 17:10:41
http://reply.papertrans.cn/16/1544/154389/154389_12.png
发微光
发表于 2025-3-23 21:34:46
Thorsten Kuthe,Madeleine Zipperlethod is based on a particular series expansion of the ambit field along a set of basis functions. We expand on this idea and view ambit fields as stochastic processes in a separable Hilbert space, where we establish a series representation of the fields as a countable sum of volatility modulated Volterra processes scaled by basis functions.
设想
发表于 2025-3-24 00:39:53
http://reply.papertrans.cn/16/1544/154389/154389_14.png
photophobia
发表于 2025-3-24 05:13:25
http://reply.papertrans.cn/16/1544/154389/154389_15.png
Aids209
发表于 2025-3-24 08:58:50
http://reply.papertrans.cn/16/1544/154389/154389_16.png
HEAVY
发表于 2025-3-24 10:49:27
Trawl Processesic processes in time, where the temporal dependence structure is specified through the ambit sets. An application to high-frequency financial time series data demonstrates the flexibility and attractiveness of trawl processes.
档案
发表于 2025-3-24 16:30:27
http://reply.papertrans.cn/16/1544/154389/154389_18.png
Vldl379
发表于 2025-3-24 22:26:41
Simulation transform, where we express the kernel function in the volatility modulated Volterra process along a basis so that the simulation task essentially becomes a summation of a weighted series of complex-valued Ornstein-Uhlenbeck processes. In some cases we can use the Laplace transform instead, providi
attenuate
发表于 2025-3-25 01:57:31
Asymptotic Theory for Power Variation of LSS Processesiation techniques are used to draw inference on the integrated variance process. The theory is rather well-developed for semimartingales, in particular for the Brownian case, but some theory can also be developed for Lévy-driven models. Beyond the semimartingale framework, the asymptotic theory for