Title of article
Path and semimartingale properties of chaos processes
Author/Authors
Basse-O’Connor، نويسنده , , Andreas and Graversen، نويسنده , , Svend-Erik، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
19
From page
522
To page
540
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.
Keywords
Semimartingales , p -variation , Moving averages , Chaos processes , Absolutely continuity
Journal title
Stochastic Processes and their Applications
Serial Year
2010
Journal title
Stochastic Processes and their Applications
Record number
1578256
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