94 citations · 133 across the 33 of their papers we have counts for
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math.PR2012
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
Ambit stochastics is the name for the theory and applications of ambit fields and ambit processes and constitutes a new research area in stochastics for tempo-spatial phenomena. Th…
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…