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math.PR2012★ 2 cited
Structure of infinitely divisible semimartingales
Andreas Basse-O'Connor, Jan Rosinski
This paper gives a complete characterization of infinitely divisible semimartingales, i.e., semimartingales whose finite dimensional distributions are infinitely divisible. An expl…
math.PR2012★ 1 cited
Characterization of the finite variation property for a class of stationary increment infinitely divisible processes
Andreas Basse-O'Connor, Jan Rosiński
We characterize the finite variation property for stationary increment mixed moving averages driven by infinitely divisible random measures. Such processes include fractional and m…