Approximating ambit fields via Fourier methods
Author:
Affiliation:
1. Department of Mathematics, University of Bergen, P.O. Box 7803, N-5020Bergen, Norway
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2015.1019880
Reference15 articles.
1. R.B. Ash, Probability and Measure Theory, Hardcourt/Academic Press, Burlington, MA, 2000.
2. Ambit Processes and Stochastic Partial Differential Equations
3. O.E. Barndorff-Nielsen, F.E. Benth, and A.E.D. Veraart, Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermitteny. preprint 2012. Available at http://arxiv.org/abs/1210.1354.
4. Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Representation and Simulation of Ambit Fields;Ambit Stochastics;2018
2. Representation and approximation of ambit fields in Hilbert space;Stochastics;2016-04-28
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