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Document type:
Zeitschriftenaufsatz 
Author(s):
Marquardt, T. 
Title:
Fractional Lévy processes with an application to long memory moving average processes 
Abstract:
Starting from the moving average (MA) integral representation of fractional Brownian motion (FBM), the class of fractional Lévy processes (FLPs) is introduced by replacing the Brownian motion by a general Lévy process with zero mean, finite variance and no Brownian component. We present different methods of constructing FLPs and study second-order and sample path properties. FLPs have the same second-order structure as FBM and, depending on the Lévy measure, they are not always semimartingales....    »
 
Keywords:
CARMA process, fractional integration, fractional Levy process, long memory, Levy process, stochastic integration 
Journal title:
Bernoulli 
Year:
2006 
Journal volume:
12 
Journal issue:
Pages contribution:
1009-1126 
Reviewed:
ja 
Language:
en 
Semester:
SS 06 
Format:
Text