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math.PR2017★ 1 cited
Continuous-time autoregressive moving-average processes in Hilbert space
Fred Espen Benth, Andre Suess
We introduce the class of continuous-time autoregressive moving-average (CARMA) processes in Hilbert spaces. As driving noises of these processes we consider Levy processes in Hilb…
math.PR2012
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…