We prove a theorem of de Finetti-type involving the pure birth of Yule process. The proof illustrates the usefulness of recently developed weak convergence criteria for point processes as well as uniform saddlepoint approximations. We also derive a stochastic intensity for the conditional...

This paper develops a stochastic integration theory with respect to volatility modulated Lévy-driven Volterra (V MLV) processes. It extends recent results in the literature to allow for stochastic volatility and pure jump processes in the integrator. The new integration operator is based on...

The aim of the present paper is to study the semimartingale property of continuous time moving averages driven by Lévy processes. We provide necessary and sufficient conditions on the kernel for the moving average to be a semimartingale in the natural filtration of the Lévy process, and when...

The Web is a communication and information technology that is often used for the distribution and retrieval of personal information. Many people and organizations mount Web sites containing large amounts of information on individuals, particularly about celebrities. However, limited studies have...