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Integrability conditions for space-time stochastic integrals: Theory and applications by Chong, Carsten; Klüppelberg, Claudia is a scholarly article available to read on EtoBox.

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We derive explicit integrability conditions for stochastic integrals taken over time and space driven by a random measure. Our main tool is a canonical decomposition of a random measure which extends the results from the purely temporal case. We show that the characteristics of this decomposition can be chosen as predictable strict random measures, and we compute the characteristics of the stochastic integral process. We apply our conditions to a variety of examples, in particular to ambit processes, which represent a rich model class.

Author

Chong, Carsten; Klüppelberg, Claudia

Published

2013

Language

EN