Basse, Andreas; Pedersen, Jan - In: Stochastic Processes and their Applications 119 (2009) 9, pp. 2970-2991
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...