Additive processes and stochastic integrals

By Ken-iti Sato. 2006

70 citations recorded by the source corpus.

Subfields: Applied Mathematics, Finance

View Paper: https://www.semanticscholar.org/paper/c8fcaa8c577895631ba8e8ba165133402d556974

How researchers see this paper

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In Applied Mathematics

1. Robert Stelzer
2. T. Marquardt
3. Ken-iti Sato

In Finance

1. Robert Stelzer
2. T. Marquardt
3. Ken-iti Sato
4. Ole E. Barndorff-Nielsen
5. Peter J. Brockwell
6. Christian Pigorsch
7. Eckhard Schlemm

Citations in the corpus

• Multivariate CARMA processes (2007, background): “38) and the results of [15] mentioned at the end of Section 2.”
• STOCHASTIC INTEGRALS WITH RESPECT TO L´ EVY PROCESSES AND INFINITELY DIVISIBLE DISTRIBUTIONS (2011, methodology): “The foregoing results in this section are given in [48, 49, 51].”
• Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes (2012, unknown): “ the following explicit sufficient conditions for Theorem 4.3 to hold. Proposition4.5. Assume that the L´evy process Lhas a non-singular Gaussian covariance matrix ΣG. Theorem 4.3 then holds. Proof. By [24], Corollary 2.19, the law of M(h) is infinitely divisible with Gaussian covariance matrix given b”