Ambit processes and stochastic partial differential equations

Ole E. Barndorff–Nielsen (oebn@imf.au.dk), Fred Espen Benth (fredb@math.uio.no) and Almut Veraart
Additional contact information
Ole E. Barndorff–Nielsen: Thiele Center, Department of Mathematical Sciences and CREATES, Postal: Ny Munkegade 118, 8000 Aarhus C, Denmark
Fred Espen Benth: Centre of Mathematics for Applications, University of Oslo and Faculty of Economics University of Agder, Postal: P.O. Box 1053, Blindern, N–0316 Oslo, Norway
Authors registered in the RePEc Author Service: Ole E. Barndorff-Nielsen

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: Ambit processes are general stochastic processes based on stochastic integrals with respect to Lévy 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 Lévy noise analysis.

Keywords: Ambit processes; stochastic partial differential equations; Lévy bases; Lévy noise; Walsh theory of martingale measures; turbulence; finance (search for similar items in EconPapers)
JEL-codes: C0 C1 C5 (search for similar items in EconPapers)
Pages: 35
Date: 2010-04-27
New Economics Papers: this item is included in nep-ore
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Citations: View citations in EconPapers (6)

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