25 citations · 87 across the 17 of their papers we have counts for
4 papers · 2 filters
Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
Danijel Grahovac, Nikolai N. Leonenko, Murad S. Taqqu
Superpositions of Ornstein-Uhlenbeck type (supOU) processes provide a rich class of stationary stochastic processes for which the marginal distribution and the dependence structure…
Intermittency of trawl processes
Danijel Grahovac, Nikolai N. Leonenko, Murad S. Taqqu
We study the limiting behavior of continuous time trawl processes which are defined using an infinitely divisible random measure of a time dependent set. In this way one is able to…
The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
Danijel Grahovac, Nikolai N. Leonenko, Anna Sikorskii +1
Superpositions of Ornstein-Uhlenbeck type (supOU) processes form a rich class of stationary processes with a flexible dependence structure. The asymptotic behavior of the integrate…
The scale functions kit for first passage problems of spectrally negative Levy processes, and applications to the optimization of dividends
Florin Avram, Danijel Grahovac, Ceren Vardar-Acar
First passage problems for spectrally negative Lévy processes with possible absorbtion or/and reflection at boundaries have been widely applied in mathematical finance, risk, queue…