Ambit Processes and Stochastic Partial Differential Equations

By Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart. 2010

57 citations recorded by the source corpus.

Ambit processes are general stochastic processes based on stochastic integrals with respect to Levy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection between ambit processes and solutions to stochastic partial differential equations. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of the Levy noise analysis.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/25e93f9a308a4c72c18b248ad8f270652820beae

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Almut E. D. Veraart
2. Fred Espen Benth
3. Ole E. Barndorff-Nielsen
4. N. Shephard
5. V. Todorov
6. Tim Bollerslev
7. Jeannette H. C. Woerner
8. Torben G. Andersen

In Finance

1. Almut E. D. Veraart
2. Fred Espen Benth
3. Ole E. Barndorff-Nielsen
4. V. Todorov
5. N. Shephard
6. Tim Bollerslev
7. Peter J. Brockwell
8. Jeannette H. C. Woerner

Citations in the corpus

• Modelling energy spot prices by volatility modulated Levy-driven Volterra processes (2013, background): “Financial support by the Center for Research in Econometric Analysis of Time Series, CREATES, funded by the Danish National Research Foundation is gratefully acknowledged by A.E.D. Veraart.”