Fractional Lévy Cox-Ingersoll-Ross and Jacobi processes

DOI10.1016/j.spl.2018.07.004zbMath1407.60055OpenAlexW2884341072MaRDI QIDQ1726711

Georg Schlüchtermann, Holger Fink

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.07.004

zbMATH Keywords

long memoryJacobi processCox-Ingersoll-Ross processfractional Lévy process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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Cites Work

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