50 citations · 244 across the 25 of their papers we have counts for
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math.PR2013★ 2 cited
Superposition of COGARCH processes
Anita Behme, Carsten Chong, Claudia Klüppelberg
We suggest three superpositions of COGARCH (supCOGARCH) volatility processes driven by Lévy processes or Lévy bases. We investigate second-order properties, jump behaviour, and pro…
math.PR2013★ 28 cited
Integrability conditions for space-time stochastic integrals: Theory and applications
Carsten Chong, Claudia Klüppelberg
We derive explicit integrability conditions for stochastic integrals taken over time and space driven by a random measure. Our main tool is a canonical decomposition of a random me…