Hermite Ornstein--Uhlenbeck processes mixed with a Gamma distribution

DOI10.5486/PMD.2020.8443zbMath1449.60033OpenAlexW3003935657MaRDI QIDQ5217333

Khalifa Es-Sebaiy, Soukaina Douissi, Ciprian A. Tudor

Publication date: 26 February 2020

Published in: Publicationes Mathematicae Debrecen (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5486/pmd.2020.8443

zbMATH Keywords

fractional Brownian motionLangevin equationOrnstein-Uhlenbeck processlong-range dependencegamma-distributionHermite processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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A class of fractional Ornstein-Uhlenbeck processes mixed with a Gamma distribution

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