Benutzer: Gast  Login
Titel:

Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Fink, H.
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...     »
Stichworte:
Conditional characteristic function, macroeconomic variables process, long-range dependence, fractional Brownian motion, fractional Lévy process, prediction
Zeitschriftentitel:
J. Appl. Probab.
Jahr:
2013
Band / Volume:
4
Heft / Issue:
50
Seitenangaben Beitrag:
983-1005
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1239/jap/1389370095
Hinweise:
to appear
Status:
Postprint / reviewed
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX