Search Results - subject:"Infinitely divisible processes"

Characterization of the finite variation property for a class of stationary increment infinitely divisible processes

Basse-O’Connor, Andreas; Rosiński, Jan - In: Stochastic Processes and their Applications 123 (2013) 6, pp. 1871-1890

We characterize the finite variation property for stationary increment mixed moving averages driven by infinitely divisible random measures. Such processes include fractional and moving average processes driven by Lévy processes, and also their mixtures. We establish two types of zero–one...

Persistent link: https://www.econbiz.de/10011064997

Equivalence of measures induced by infinitely divisible processes

Veeh, Jerry Alan - In: Journal of Multivariate Analysis 13 (1983) 1, pp. 138-147

We find sufficient conditions for the equivalence of two measures on function space induced by infinitely divisible … processes. The processes are not assumed to be stochastically continuous or to have independent increments. The theorem proved …

Persistent link: https://www.econbiz.de/10005160446