Path properties of Lévy driven mixed moving average processes

arXiv (Cornell University) 2026 Preprint Open access

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Authors: Danijel Grahovac, Péter Kevei, Orimar Sauri
DOI: 10.48550/arxiv.2602.01735
Cited by: 0

Abstract

We derive general sufficient conditions for the existence of càdlàg and continuous modifications of Lévy-driven mixed moving average processes. The conditions are explicit and easy to verify and applied to supOU, well-balanced supOU, trawl, and power-weighted supOU processes. In these examples, the conditions are shown to be close to optimal.

Fields of Study & Subjects

Stochastic processes and financial applications Stochastic processes and statistical mechanics Probability and Statistical Research

Publication details

Journal / source
arXiv (Cornell University)
Publication date
2 February 2026
Document type
Preprint