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dc.date.accessioned2016-01-05T08:57:39Z
dc.date.available2016-01-05T08:57:39Z
dc.date.created2015-06-22T14:59:14Z
dc.date.issued2015
dc.identifier.citationBenth, Fred Espen Krühner, Paul . Integrability of multivariate subordinated Lévy processes in Hilbert space. Stochastics: An International Journal of Probability and Stochastic Processes. 2015, 87(3), 458-476
dc.identifier.urihttp://hdl.handle.net/10852/48408
dc.description.abstractWe investigate multivariate subordination of Lévy processes which was first introduced by Barndorff-Nielsen et al. [O.E. Barndorff-Nielsen, F.E. Benth, and A. Veraart, Modelling electricity forward markets by ambit fields, J. Adv. Appl. Probab. (2010)], in a Hilbert space valued setting which has been introduced in Pérez-Abreu and Rocha-Arteaga [V. Pérez-Abreu and A. Rocha-Arteaga, Covariance-parameter Lévy processes in the space of trace-class operators, Infin. Dimens. Anal. Quantum Probab. Related Top. 8(1) (2005), pp. 33–54]. The processes are explicitly characterized and conditions for integrability and martingale properties are derived under various assumptions of the Lévy process and subordinator. As an application of our theory we construct explicitly some Hilbert space valued versions of Lévy processes which are popular in the univariate and multivariate case. In particular, we define a normal inverse Gaussian Lévy process in Hilbert space. The resulting process has the property that at each time all its finite dimensional projections are multivariate normal inverse Gaussian distributed as introduced in Rydberg [T. Rydberg, The normal inverse Gaussian Lévy process: Simulation and approximation, Commun. Stat. Stochastic Models 13 (1997), pp. 887–910].en_US
dc.languageEN
dc.language.isoenen_US
dc.titleIntegrability of multivariate subordinated Lévy processes in Hilbert spaceen_US
dc.typeJournal articleen_US
dc.creator.authorBenth, Fred Espen
dc.creator.authorKrühner, Paul
cristin.unitcode185,15,13,35
cristin.unitnameStokastisk analyse, finans, forsikring og risiko
cristin.ispublishedtrue
cristin.fulltextpreprint
cristin.qualitycode1
dc.identifier.cristin1249941
dc.identifier.bibliographiccitationinfo:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastics: An International Journal of Probability and Stochastic Processes&rft.volume=87&rft.spage=458&rft.date=2015
dc.identifier.jtitleStochastics: An International Journal of Probability and Stochastic Processes
dc.identifier.volume87
dc.identifier.issue3
dc.identifier.startpage458
dc.identifier.endpage476
dc.identifier.doihttp://dx.doi.org/10.1080/17442508.2014.966826
dc.identifier.urnURN:NBN:no-52318
dc.type.documentTidsskriftartikkelen_US
dc.source.issn1744-2508
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/48408/1/benth_kruhner_stochastics_arxiv.pdf
dc.type.versionSubmittedVersion


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