[图书][B] Ambit stochastics
OE Barndorff-Nielsen, FE Benth, AED Veraart - 2018 - Springer
Ambit Stochastics has emerged as a new field in probability theory during the last decade.
While there are still many open questions and challenges, we think that the time is right to …
While there are still many open questions and challenges, we think that the time is right to …
[图书][B] Some recent developments in ambit stochastics
OE Barndorff-Nielsen, E Hedevang, J Schmiegel… - 2016 - library.oapen.org
Some of the recent developments in the rapidly expanding field of Ambit Stochastics are
here reviewed. After a brief recall of the framework of Ambit Stochastics, two topics are …
here reviewed. After a brief recall of the framework of Ambit Stochastics, two topics are …
Limit theorems for trawl processes
In this work we derive limit theorems for trawl processes. First, we study the asymptotic
behavior of the partial sums of the discretized trawl process (X i Δ n) i= 0⌊ nt⌋− 1, under the …
behavior of the partial sums of the discretized trawl process (X i Δ n) i= 0⌊ nt⌋− 1, under the …
The local fractional bootstrap
We introduce a bootstrap procedure for high‐frequency statistics of Brownian semistationary
processes. More specifically, we focus on a hypothesis test on the roughness of sample …
processes. More specifically, we focus on a hypothesis test on the roughness of sample …
Gamma Kernels and BSS/LSS Processes
OE Barndorff-Nielsen - Advanced Modelling in Mathematical Finance: In …, 2016 - Springer
Gamma Kernels and BSS/LSS Processes | SpringerLink Skip to main content
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Advertisement SpringerLink Account Menu Find a journal Publish with us Track your …
On the divergence and vorticity of vector ambit fields
O Sauri - Stochastic Processes and their Applications, 2020 - Elsevier
This paper studies the asymptotic behaviour of the flux and circulation of a subclass of
random fields within the family of 2-dimensional vector ambit fields. We show that, under …
random fields within the family of 2-dimensional vector ambit fields. We show that, under …
A weak law of large numbers for estimating the correlation in bivariate Brownian semistationary processes
A Granelli, AED Veraart - arXiv preprint arXiv:1707.08505, 2017 - arxiv.org
This article presents various weak laws of large numbers for the so-called realised
covariation of a bivariate stationary stochastic process which is not a semimartingale. More …
covariation of a bivariate stationary stochastic process which is not a semimartingale. More …
Assessing Gamma kernels and BSS/LSS processes
OE Barndorff-Nielsen - 2016 - pure.au.dk
Assessing Gamma kernels and BSS/LSS processes Ole E. Barndorff-Nielsen CREATES Research
Paper 2016-9 Page 1 Department of Economics and Business Economics Aarhus University …
Paper 2016-9 Page 1 Department of Economics and Business Economics Aarhus University …
Pathwise decompositions of Brownian semistationary processes
O Sauri - Theory of Probability & Its Applications, 2019 - SIAM
We find a pathwise decomposition of a certain class of Brownian semistationary processes
(BSS) in terms of fractional Brownian motions. To do this, we specialize in the case when the …
(BSS) in terms of fractional Brownian motions. To do this, we specialize in the case when the …
Brownian semistationary processes and related processes
O Sauri - arXiv preprint arXiv:1710.05694, 2017 - arxiv.org
In this paper we find a pathwise decomposition of a certain class of Brownian semistationary
processes ($\mathcal {BSS} $) in terms of fractional Brownian motions. To do this, we …
processes ($\mathcal {BSS} $) in terms of fractional Brownian motions. To do this, we …