Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency

Ole E. Barndorff-Nielsen, Fred Espen Benth, and Almut E. D. Veraart. "Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency." Banach Center Publications 104.1 (2015): 25-60. <http://eudml.org/doc/281735>.

@article{OleE2015,
abstract = {Ambit stochastics is the name for the theory and applications of ambit fields and ambit processes and constitutes a new research area in stochastics for tempo-spatial phenomena. This paper gives an overview of the main findings in ambit stochastics up to date and establishes new results on general properties of ambit fields. Moreover, it develops the concept of tempo-spatial stochastic volatility/intermittency within ambit fields. Various types of volatility modulation ranging from stochastic scaling of the amplitude, to stochastic time change and extended subordination of random measures and to probability and Lévy mixing of volatility/intensity parameters will be developed. Important examples for concrete model specifications within the class of ambit fields are given.},
author = {Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart},
journal = {Banach Center Publications},
keywords = {ambit stochastics; ambit fields; tempo-spatial stochastic volatility/intermittency; random measures; stochastic time change},
language = {eng},
number = {1},
pages = {25-60},
title = {Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency},
url = {http://eudml.org/doc/281735},
volume = {104},
year = {2015},
}

TY - JOUR
AU - Ole E. Barndorff-Nielsen
AU - Fred Espen Benth
AU - Almut E. D. Veraart
TI - Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
JO - Banach Center Publications
PY - 2015
VL - 104
IS - 1
SP - 25
EP - 60
AB - Ambit stochastics is the name for the theory and applications of ambit fields and ambit processes and constitutes a new research area in stochastics for tempo-spatial phenomena. This paper gives an overview of the main findings in ambit stochastics up to date and establishes new results on general properties of ambit fields. Moreover, it develops the concept of tempo-spatial stochastic volatility/intermittency within ambit fields. Various types of volatility modulation ranging from stochastic scaling of the amplitude, to stochastic time change and extended subordination of random measures and to probability and Lévy mixing of volatility/intensity parameters will be developed. Important examples for concrete model specifications within the class of ambit fields are given.
LA - eng
KW - ambit stochastics; ambit fields; tempo-spatial stochastic volatility/intermittency; random measures; stochastic time change
UR - http://eudml.org/doc/281735
ER -