Superposition of Ornstein-Uhlenbeck type processes (Q2752947)
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scientific article; zbMATH DE number 1665882
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Superposition of Ornstein-Uhlenbeck type processes |
scientific article; zbMATH DE number 1665882 |
Statements
22 October 2001
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Ornstein-Uhlenbeck processes
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Levy processes
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superpositions
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cumulative processes
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self-similarity
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Superposition of Ornstein-Uhlenbeck type processes (English)
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This paper studies a class of superpositions of Ornstein-Uhlenbeck type processes in terms of integrals with respect to independently scattered random measures. The paper develops flexible classes of processes that incorporate long-range dependence and self-similarity-like properties and that are capable of describing some of the other key distributional features of typical data in finance, turbulence, and other fields.
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