| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156879 | Stochastic Processes and their Applications | 2010 | 19 Pages |
Abstract
The present paper characterizes various properties of chaos processes which in particular include processes where all time variables admit a Wiener chaos expansion of a fixed finite order. The main focus is on the semimartingale property, pp-variation and continuity. The general results obtained are finally used to characterize when a moving average is a semimartingale.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Andreas Basse-O’Connor, Svend-Erik Graversen,