Long-memory stable {O}rnstein-{U}hlenbeck processes

DOI10.1214/EJP.v8-168zbMath1087.60034OpenAlexW2096303140MaRDI QIDQ1767502

Kenji Yamamoto, Makoto Maejima

Publication date: 8 March 2005

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

Full work available at URL: https://eudml.org/doc/126004

zbMATH Keywords

fractional Brownian motionLangevin equationstationary processLevy processindependent incrementslinear fractional stable motiondependent incrementsstochastic differential equation with additive noise

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

Related Items (9)

A long range dependence stable process and an infinite variance branching system ⋮ Inference procedures for stable-Paretian stochastic volatility models ⋮ Quasi Ornstein-Uhlenbeck processes ⋮ The asymptotic codifference and covariation of log-fractional stable noise ⋮ Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence ⋮ Small ball probabilities for stable convolutions ⋮ Codifference as a practical tool to measure interdependence ⋮ Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise ⋮ Long range dependence for stable random processes

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