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Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes

  • Published:2019-12 Issue:12 Volume:129 Page:5113-5150
  • ISSN:0304-4149
  • Container-title:Stochastic Processes and their Applications
  • language:en
  • Short-container-title:Stochastic Processes and their Applications

Author:

Grahovac Danijel,Leonenko Nikolai N.,Taqqu Murad S.

Funder

Australian Research Council

MINECO, Spain

FEDER

Simons foundation

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference52 articles.

1. Inequalities for the r-th absolute moment of a sum of random variables, 1≤r≤2;von Bahr;Ann. Math. Stat.,1965

2. Processes of normal inverse Gaussian type;Barndorff-Nielsen;Finance Stoch.,1997

3. Superposition of Ornstein–Uhlenbeck type processes;Barndorff-Nielsen;Theory Probab. Appl.,2001

4. Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency;Barndorff-Nielsen;Banach Center Publ.,2015

5. Ambit Stochastics;Barndorff-Nielsen,2018

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