Path and semimartingale properties of chaos processes

Abstract

The present paper characterizes various properties of chaos processes which in particular include processes where all time variables admit a Wiener chaos expansion of a fixed finite order. The main focus is on the semimartingale property, p-variation and continuity. The general results obtained are finally used to characterize when a moving average is a semimartingale.Semimartingales p-variation Moving averages Chaos processes Absolutely continuity