On the exponentials of fractional Ornstein-Uhlenbeck processes

DOI10.1214/EJP.v14-628zbMath1191.60048MaRDI QIDQ1039117

Muneya Matsui, Narn-Rueih Shieh

Publication date: 20 November 2009

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/232107

zbMATH Keywords

fractional Brownian motionlong memorylong range dependencefractional Ornstein-Uhlenbeck processBurkholder-Davis-Gundy inequalitiesexponential process

Mathematics Subject Classification ID

Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17)

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