Path properties of L\'evy driven mixed moving average processes
Danijel Grahovac, P\'eter Kevei, Orimar Sauri
TL;DR
This paper establishes explicit, verifiable conditions for the existence of c lg and continuous modifications in Le9vy-driven mixed moving average processes, with applications to several specific process types.
Contribution
It provides general, near-optimal conditions for process modifications, applicable to a broad class of Le9vy-driven mixed moving average processes.
Findings
Conditions are explicit and easy to verify.
Conditions are close to optimal for specific process examples.
Applicable to supOU, well-balanced supOU, trawl, and power-weighted supOU processes.
Abstract
We derive general sufficient conditions for the existence of c\`adl\`ag and continuous modifications of L\'evy-driven mixed moving average processes. The conditions are explicit and easy to verify and applied to supOU, well-balanced supOU, trawl, and power-weighted supOU processes. In these examples, the conditions are shown to be close to optimal.
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Taxonomy
TopicsStochastic processes and financial applications · Probability and Risk Models · Advanced Queuing Theory Analysis