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FunctionaL Regular Variation of Levy-driven Multivariate Mixed Moving Average Processes
cadlag sample paths functional regular variation heavy tails Levy basis mixed moving average process
2012/4/18
We consider the functional regular variation in the space $\mathbb{D}$ of c\`adl\`ag functions of multivariate mixed moving average (MMA) processes of the type $X_t = \int\int f(A, t - s) \Lambda (d A...
Finite Variation of Fractional Levy Processes
finite variation fractional integration fractional L´ evy process
2011/3/1
Various characterizations for fractional L´evy process to be of finite variation are obtained, one of which is in terms of the characteristic triplet of the driving L´evy process, while ot...