Ambit fields: survey and new challenges

Mark Podolskij ()
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Mark Podolskij: Aarhus University and CREATES, Postal: Department of Mathematics, University of Aarhus, Ny Munkegade 118, 8000 Aarhus C, Denmark

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

Abstract: In this paper we present a survey on recent developments in the study of ambit fields and point out some open problems. Ambit fields is a class of spatio-temporal stochastic processes, which by its general structure constitutes a exible model for dynamical structures in time and/or in space. We will review their basic probabilistic properties, main stochastic integration concepts and recent limit theory for high frequency statistics of ambit fields.

Keywords: Ambit fields; high frequency data; limit theorems; numerical schemes; stochastic integration. (search for similar items in EconPapers)
JEL-codes: C10 C13 C14 (search for similar items in EconPapers)
Pages: 36
Date: 2014-12-10
New Economics Papers: this item is included in nep-ore
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2014-51

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