The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes

DOI10.3150/18-BEJ1044zbMath1466.60095arXiv1708.02178OpenAlexW2963461562MaRDI QIDQ2419668

Murad S. Taqqu, Alla Sikorskii, Danijel Grahovac, Nikolai N. Leonenko

Publication date: 14 June 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.02178

zbMATH Keywords

momentscumulantsself-similarityOrnstein-Uhlenbeck processintermittencysupOU processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10)

Related Items

Multifractal processes: definition, properties and new examples ⋮ INTERMITTENCY AND MULTISCALING IN LIMIT THEOREMS ⋮ Intermittency of trawl processes ⋮ Intermittency in the small-time behavior of Lévy processes ⋮ The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes ⋮ The multifaceted behavior of integrated supOU processes: the infinite variance case ⋮ Weak dependence and GMM estimation of supOU and mixed moving average processes ⋮ Limit theorems for trawl processes ⋮ Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes ⋮ Intermittency and infinite variance: the case of integrated supou processes ⋮ The almost-sure asymptotic behavior of the solution to the stochastic heat equation with Lévy noise

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