Characterization of the finite variation property for a class of stationary increment infinitely divisible processes

Details Characterization of the finite variation property for a class of stationary increment infinitely divisible processes Characterization of the finite variation property for a class of stationary increment infinitely divisible processes

2012-01-20

arxiv.org/abs/1201.4366v1

Mathematics

Probability

Scientific paper

We characterize the finite variation property for stationary increment mixed
moving averages driven by infinitely divisible random measures. Such processes
include fractional and moving average processes driven by Levy processes, and
also their mixtures. We establish two types of zero-one laws for the finite
variation property. We also consider some examples to illustrate our results.

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