| Autor: |
Barndorff-Nielsen, Ole, Benth, Fred Espen, Veraart, Almut |
| Jazyk: |
angličtina |
| Rok vydání: |
2010 |
| Předmět: |
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| Zdroj: |
Barndorff-Nielsen, O, Benth, F E & Veraart, A 2010 ' Ambit processes and stochastic partial differential equations ' Institut for Økonomi, Aarhus Universitet, Aarhus . |
| Popis: |
Ambit processes are general stochastic processes based on stochastic integrals with respect toLévy bases. Due to their flexible structure, they have great potential for providing realistic modelsfor various applications such as in turbulence and finance. This papers studies the connectionbetween ambit processes and solutions to stochastic partial differential equations. We investigatethis relationship from two angles: from the Walsh theory of martingale measures and from theviewpoint of the Lévy noise analysis. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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