Path properties of Lévy driven mixed moving average processes

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.

💡 Research Summary

This paper investigates the sample‑path regularity of Lévy‑driven mixed moving average (MMA) processes, providing explicit, easily verifiable sufficient conditions for the existence of càdlàg (right‑continuous with left limits) and continuous modifications. An MMA process is defined as
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