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Lévy driven moving averages and semimartingales

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  • Basse, Andreas
  • Pedersen, Jan

Abstract

The aim of the present paper is to study the semimartingale property of continuous time moving averages driven by Lévy processes. We provide necessary and sufficient conditions on the kernel for the moving average to be a semimartingale in the natural filtration of the Lévy process, and when this is the case we also provide a useful representation. Assuming that the driving Lévy process is of unbounded variation, we show that the moving average is a semimartingale if and only if the kernel is absolutely continuous with a density satisfying an integrability condition.

Suggested Citation

  • Basse, Andreas & Pedersen, Jan, 2009. "Lévy driven moving averages and semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2970-2991, September.
    • Handle: RePEc:eee:spapps:v:119:y:2009:i:9:p:2970-2991
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    References listed on IDEAS

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    1. Cheridito, Patrick, 2004. "Gaussian moving averages, semimartingales and option pricing," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 47-68, January.
    2. Braverman, Michael & Samorodnitsky, Gennady, 1998. "Symmetric infinitely divisible processes with sample paths in Orlicz spaces and absolute continuity of infinitely divisible processes," Stochastic Processes and their Applications, Elsevier, vol. 78(1), pages 1-26, October.
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    Cited by:

    1. Harms, Philipp & Stefanovits, David, 2019. "Affine representations of fractional processes with applications in mathematical finance," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1185-1228.
    2. Basse-O’Connor, Andreas & Nielsen, Mikkel Slot & Pedersen, Jan, 2018. "Equivalent martingale measures for Lévy-driven moving averages and related processes," Stochastic Processes and their Applications, Elsevier, vol. 128(8), pages 2538-2556.
    3. Barndorff-Nielsen, Ole E. & Benth, Fred Espen & Pedersen, Jan & Veraart, Almut E.D., 2014. "On stochastic integration for volatility modulated Lévy-driven Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 812-847.
    4. Andreas Basse, 2009. "Spectral Representation of Gaussian Semimartingales," Journal of Theoretical Probability, Springer, vol. 22(4), pages 811-826, December.
    5. Basse-O’Connor, Andreas & Rosiński, Jan, 2013. "Characterization of the finite variation property for a class of stationary increment infinitely divisible processes," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 1871-1890.
    6. Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2013. "Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes," Papers 1307.6332, arXiv.org.
    7. Ole E. Barndorff-Nielsen, 2016. "Assessing Gamma kernels and BSS/LSS processes," CREATES Research Papers 2016-09, Department of Economics and Business Economics, Aarhus University.
    8. Pakkanen, Mikko S. & Sottinen, Tommi & Yazigi, Adil, 2017. "On the conditional small ball property of multivariate Lévy-driven moving average processes," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 749-782.
    9. Bender, Christian & Knobloch, Robert & Oberacker, Philip, 2015. "A generalised Itō formula for Lévy-driven Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2989-3022.
    10. Christian Bender & Alexander Lindner & Markus Schicks, 2012. "Finite Variation of Fractional Lévy Processes," Journal of Theoretical Probability, Springer, vol. 25(2), pages 594-612, June.
    11. Basse-O'Connor, Andreas & Graversen, Svend-Erik, 2010. "Path and semimartingale properties of chaos processes," Stochastic Processes and their Applications, Elsevier, vol. 120(4), pages 522-540, April.
    12. Sauri, Orimar, 2020. "On the divergence and vorticity of vector ambit fields," Stochastic Processes and their Applications, Elsevier, vol. 130(10), pages 6184-6225.

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