Path and semimartingale properties of chaos processes

The present paper characterizes various properties of chaos processes which in particular include processes where all time variables admit a Wiener chaos expansion of a fixed finite order. The main focus is on the semimartingale property, p-variation and continuity. The general results obtained are finally used to characterize when a moving average is a semimartingale.

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Year of publication:	2010
Authors:	Basse-O'Connor, Andreas ; Graversen, Svend-Erik
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 4, p. 522-540
Publisher:	Elsevier
Keywords:	Semimartingales p-variation Moving averages Chaos processes Absolutely continuity

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873767