4 citations · 6 across the 5 of their papers we have counts for
7 papers
Limit theorems for quadratic forms and related quantities of discretely sampled continuous-time moving averages
Mikkel Slot Nielsen, Jan Pedersen
The limiting behavior of Toeplitz type quadratic forms of stationary processes has received much attention through decades, particularly due to its importance in statistical estima…
Multivariate stochastic delay differential equations and CAR representations of CARMA processes
Andreas Basse-O'Connor, Mikkel Slot Nielsen, Jan Pedersen +1
In this study we show how to represent a continuous time autoregressive moving average (CARMA) as a higher order stochastic delay differential equation, which may be thought of as…
On infinite divisibility of a class of two-dimensional vectors in the second Wiener chaos
Andreas Basse-O'Connor, Jan Pedersen, Victor Rohde
Infinite divisibility of a class of two-dimensional vectors with components in the second Wiener chaos is studied. Necessary and sufficient conditions for infinite divisibility is…
Equivalent martingale measures for Lévy-driven moving averages and related processes
Andreas Basse-O'Connor, Mikkel Slot Nielsen, Jan Pedersen
In the present paper we obtain sufficient conditions for the existence of equivalent martingale measures for Lévy-driven moving averages and other non-Markovian jump processes. The…
Continuous-time models with an autoregressive structure
Andreas Basse-O'Connor, Mikkel Slot Nielsen, Jan Pedersen +1
In this paper we suggest two continuous-time models which exhibit an autoregressive structure. We obtain existence and uniqueness results and study the structure of the solution pr…
On stochastic integration for volatility modulated Lévy-driven Volterra processes
Ole E. Barndorff-Nielsen, Fred Espen Benth, Jan Pedersen +1
This papers develops a stochastic integration theory with respect to volatility modulated Lévy-driven Volterra (VMLV) processes. It extends recent results in the literature to allo…
Martingale-type processes indexed by the real line
Andreas Basse-O'Connor, Svend-Erik Graversen, Jan Pedersen
Some classes of increment martingales, and the corresponding localized classes, are studied. An increment martingale is indexed by the real line and its increment processes are mar…