Ornstein–Uhlenbeck Processes and Extensions
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Publication:3646964
DOI10.1007/978-3-540-71297-8_18zbMath1185.60036OpenAlexW156433631MaRDI QIDQ3646964
Alex Szimayer, Gernot J. Müller, Ross A. Maller
Publication date: 27 November 2009
Published in: Handbook of Financial Time Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_18
generalized Ornstein-Uhlenbeck processautoregressive representationbivariate Lévy processestimation and hypothesis testingsemimartingale, stochastic integral
Gaussian processes (60G15) Financial applications of other theories (91G80) Generalized stochastic processes (60G20)
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