A generalised Itō formula for Lévy-driven Volterra processes
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DOI: 10.1016/j.spa.2015.02.009
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References listed on IDEAS
- 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.
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Cited by:
- 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.
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Keywords
Fractional Lévy process; Itō formula; Skorokhod integral; Stochastic convolution; S-transform;All these keywords.
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