3 citations · 5 across the 13 of their papers we have counts for
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Affine pure-jump Volterra fields
Sven Karbach, Thomas K. Kloster
We study a class of non-negative spatio-temporal random fields that exhibit self-exciting clustering, which we refer to as affine pure-jump Volterra fields. They are defined via st…
Measure-Valued CARMA Processes
Fred Espen Benth, Sven Karbach, Asma Khedher
In this paper, we examine continuous-time autoregressive moving-average (CARMA) processes on Banach spaces driven by Lévy subordinators. We show their existence and cone-invariance…
Finite-rank approximation of affine processes on positive Hilbert-Schmidt operators
Sven Karbach
In this article, we present a method for approximating affine processes on the cone of positive Hilbert-Schmidt operators using matrix-valued affine processes. By leveraging result…
Multivariate continuous-time autoregressive moving-average processes on cones
Fred Espen Benth, Sven Karbach
In this article we study multivariate continuous-time autoregressive moving-average (MCARMA) processes with values in convex cones. More specifically, we introduce matrix-valued MC…
Stationary Covariance Regime for Affine Stochastic Covariance Models in Hilbert Spaces
Martin Friesen, Sven Karbach
We study the long-time behavior of affine processes on positive self-adjoiont Hilbert-Schmidt operators which are of pure-jump type, conservative and have finite second moment. For…
An infinite-dimensional affine stochastic volatility model
Sonja Cox, Sven Karbach, Asma Khedher
We introduce a flexible and tractable infinite-dimensional stochastic volatility model. More specifically, we consider a Hilbert space valued Ornstein-Uhlenbeck-type process, whose…
Affine pure-jump processes on positive Hilbert-Schmidt operators
Sonja Cox, Sven Karbach, Asma Khedher
We show the existence of a broad class of affine Markov processes in the cone of positive self-adjoint Hilbert-Schmidt operators. Such processes are well-suited as infinite dimensi…