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math.PR2019
Intermittency in the small-time behavior of Lévy processes
Danijel Grahovac
In this paper we consider convergence of moments in the small-time limit theorems for Lévy processes. We provide precise asymptotics for all the absolute moments of positive order.…
math.PR2019
Intermittency and infinite variance: the case of integrated supOU processes
Danijel Grahovac, Nikolai N. Leonenko, Murad S. Taqqu
SupOU processes are superpositions of Ornstein-Uhlenbeck type processes with a random intensity parameter. They are stationary processes whose marginal distribution and dependence…