Ornstein--Uhlenbeck Type Processes with Heavy Distribution Tails

DOI10.1137/S0040585X97986102zbMath1291.60072arXiv1102.5606MaRDI QIDQ2863587

Geoffrey Decrouez, Konstantin A. Borovkov

Publication date: 22 November 2013

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.5606

zbMATH Keywords

Ornstein-Uhlenbeck processheavy tailed distributionfinancial data

Mathematics Subject Classification ID

Gaussian processes (60G15) Financial applications of other theories (91G80)

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