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Characterization of the finite variation property for a class of stationary increment infinitely divisible processes

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  • Basse-O’Connor, Andreas
  • Rosiński, Jan

Abstract

We characterize the finite variation property for stationary increment mixed moving averages driven by infinitely divisible random measures. Such processes include fractional and moving average processes driven by Lévy processes, and also their mixtures. We establish two types of zero–one laws for the finite variation property. We also consider some examples to illustrate our results.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:spapps:v:123:y:2013:i:6:p:1871-1890
    DOI: 10.1016/j.spa.2013.01.014
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    References listed on IDEAS

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    1. Basse, Andreas & Pedersen, Jan, 2009. "Lévy driven moving averages and semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2970-2991, September.
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