Path and semimartingale properties of chaos processes

Andreas Basse-O'Connor; Svend-Erik Graversen

doi:10.1016/j.spa.2009.12.001

Path and semimartingale properties of chaos processes

Andreas Basse-O'Connor, Svend-Erik Graversen

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review

Abstract

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.

Originalsprog	Engelsk
Tidsskrift	Stochastic Processes and Their Applications
Vol/bind	120
Nummer	4
Sider (fra-til)	522-540
Antal sider	19
ISSN	0304-4149
DOI	https://doi.org/10.1016/j.spa.2009.12.001
Status	Udgivet - 2010

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10.1016/j.spa.2009.12.001

Citationsformater

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title = "Path and semimartingale properties of chaos processes",

abstract = "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.",

author = "Andreas Basse-O'Connor and Svend-Erik Graversen",

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T1 - Path and semimartingale properties of chaos processes

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AU - Graversen, Svend-Erik

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AB - 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.

U2 - 10.1016/j.spa.2009.12.001

DO - 10.1016/j.spa.2009.12.001

M3 - Journal article

SN - 0304-4149

VL - 120

SP - 522

EP - 540

JO - Stochastic Processes and Their Applications

JF - Stochastic Processes and Their Applications

IS - 4

ER -

Path and semimartingale properties of chaos processes

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