On the conditional small ball property of multivariate Lévy-driven moving average processes
نویسندگان
چکیده
منابع مشابه
On the Conditional Small Ball Property of Multivariate Lévy-driven Moving Average Processes
We study whether a multivariate Lévy-driven moving average process can shadow arbitrarily closely any continuous path, starting from the present value of the process, with positive conditional probability, which we call the conditional small ball property. Our main results establish the conditional small ball property for Lévy-driven moving average processes under natural non-degeneracy conditi...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2017
ISSN: 0304-4149
DOI: 10.1016/j.spa.2016.06.025