Path and semimartingale properties of chaos processes

Andreas Basse-O'Connor and Svend-Erik Graversen

Stochastic Processes and their Applications, 2010, vol. 120, issue 4, 522-540

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 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(09)00219-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:120:y:2010:i:4:p:522-540

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().