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Document type:
Zeitschriftenaufsatz 
Author(s):
Fink, H. 
Title:
Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk 
Abstract:
Molchan-Golosov fractional Lévy processes (MG-FLPs) are introduced by way of a multivariate componentwise Molchan-Golosov transformation based on an n-dimensional driving Lévy process. Using results of fractional calculus and infinitely divisible distributions, we are able to calculate the conditional characteristic function of integrals driven by MG-FLPs. This leads to important predictions concerning multivariate fractional Brownian motion, fractional subordinators, and general fractional stoc...    »
 
Keywords:
Conditional characteristic function, macroeconomic variables process, long-range dependence, fractional Brownian motion, fractional Lévy process, prediction 
Journal title:
J. Appl. Probab. 
Year:
2013 
Journal volume:
Journal issue:
50 
Pages contribution:
983-1005 
Reviewed:
ja 
Language:
en 
Notes:
to appear 
Status:
Postprint / reviewed 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text