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Abstract: Starting from the moving average integral representation of fractional Brownian motion (FBM) the class of fractional Levy processes (FLP) is introduced by replacing the Brownian motion by a general Levy process with zero mean, nite variance and no Brownian component. We present di erent methods to construct fractional Levy processes and study second order and sample path properties. FLPs have the same second order structure as FBM and, depending on the Levy measure, they are not... (Update)
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BibTeX entry: (Update)
@misc{ marquardt-fractional,
author = "Tina Marquardt",
title = "Fractional Lévy processes with an application to long memory moving
average processes",
url = "citeseer.ist.psu.edu/marquardt06fractional.html" }
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[Article contains additional citations not shown here]
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