Path and semimartingale properties of chaos processes |
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Authors: | Andreas Basse-O&rsquo Connor,Svend-Erik Graversen |
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Affiliation: | Department of Mathematical Sciences, University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark |
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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. |
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Keywords: | 60G48 60G51 60G17 60G15 60G10 |
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