dc.date.accessioned | 2017-05-19T10:58:04Z | |
dc.date.available | 2017-05-19T10:58:04Z | |
dc.date.created | 2017-03-27T08:55:09Z | |
dc.date.issued | 2017 | |
dc.identifier.citation | Benth, Fred Espen Eyjolfsson, Heidar . Representation and approximation of ambit fields in Hilbert space. Stochastics: An International Journal of Probability and Stochastic Processes. 2017, 89(1), 311-347 | |
dc.identifier.uri | http://hdl.handle.net/10852/55433 | |
dc.description.abstract | We lift ambit fields to a class of Hilbert space-valued volatility modulated Volterra processes. We name this class Hambit fields, and show that they can be expressed as a countable sum of weighted real-valued volatility modulated Volterra processes. Moreover, Hambit fields can be interpreted as the boundary of the mild solution of a certain first order stochastic partial differential equation. This stochastic partial differential equation is formulated on a suitable Hilbert space of functions on the positive real line with values in the state space of the Hambit field. We provide an explicit construction of such a space. Finally, we apply this interpretation of Hambit fields to develop a finite difference scheme, for which we prove convergence under some Lipschitz conditions.
This research was first published in Schochastics: An International Journal of Probability and Stochastic Processes. © Taylor & Francis. | en_US |
dc.language | EN | |
dc.title | Representation and approximation of ambit fields in Hilbert space | en_US |
dc.type | Journal article | en_US |
dc.creator.author | Benth, Fred Espen | |
dc.creator.author | Eyjolfsson, Heidar | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Stokastisk analyse, finans, forsikring og risiko | |
cristin.ispublished | true | |
cristin.fulltext | preprint | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1461212 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastics: An International Journal of Probability and Stochastic Processes&rft.volume=89&rft.spage=311&rft.date=2017 | |
dc.identifier.jtitle | Stochastics: An International Journal of Probability and Stochastic Processes | |
dc.identifier.volume | 89 | |
dc.identifier.issue | 1 | |
dc.identifier.startpage | 311 | |
dc.identifier.endpage | 347 | |
dc.identifier.urn | URN:NBN:no-58228 | |
dc.type.document | Tidsskriftartikkel | en_US |
dc.source.issn | 1744-2508 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/55433/1/ambit-repr.pdf | |
dc.type.version | SubmittedVersion | |