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Prediction of Gaussian Volterra processes with compound Poisson jumps

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  • Maleki Almani, Hamidreza
  • Shokrollahi, Foad
  • Sottinen, Tommi

Abstract

We consider a Gaussian Volterra process with compound Poisson jumps and derive its prediction law.

Suggested Citation

  • Maleki Almani, Hamidreza & Shokrollahi, Foad & Sottinen, Tommi, 2024. "Prediction of Gaussian Volterra processes with compound Poisson jumps," Statistics & Probability Letters, Elsevier, vol. 208(C).
    • Handle: RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000233
    DOI: 10.1016/j.spl.2024.110054
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    References listed on IDEAS

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