Path properties of L\'evy driven mixed moving average processes
Probability
2026-02-03 v1
Abstract
We derive general sufficient conditions for the existence of c\`adl\`ag and continuous modifications of L\'evy-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.
Keywords
Cite
@article{arxiv.2602.01735,
title = {Path properties of L\'evy driven mixed moving average processes},
author = {Danijel Grahovac and Péter Kevei and Orimar Sauri},
journal= {arXiv preprint arXiv:2602.01735},
year = {2026}
}
Comments
26 pages