Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion

DOI10.1007/978-3-319-25826-3_8zbMath1354.60035OpenAlexW2252427476MaRDI QIDQ2956051

Asma Khedher, Fred Espen Benth

Publication date: 16 January 2017

Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-25826-3_8

zbMATH Keywords

stationaritymean reversionOrnstein-Uhlenbeck processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Diffusion processes (60J60)

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Stochastic modeling of stratospheric temperature ⋮ Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing

Uses Software

• MS_Regress

Cites Work

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