Ornstein--Uhlenbeck Process with Non-Gaussian Structure
From MaRDI portal
Publication:5359878
DOI10.5506/APhysPolB.44.1123zbMath1371.60140MaRDI QIDQ5359878
Agnieszka Wyłomańska, Jakub Obuchowski
Publication date: 27 September 2017
Published in: Acta Physica Polonica B (Search for Journal in Brave)
Related Items
Stable continuous-time autoregressive process driven by stable subordinator ⋮ Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system ⋮ Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process ⋮ Stochastic modeling of currency exchange rates with novel validation techniques ⋮ Explicit representation of characteristic function of tempered α‐stable Ornstein–Uhlenbeck process ⋮ Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise ⋮ Ornstein-Uhlenbeck process driven by \(\alpha\)-stable process and its gamma subordination ⋮ Prediction of the stock prices at Uganda securities exchange using the exponential Ornstein-Uhlenbeck model ⋮ Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process ⋮ Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise ⋮ Confined random motion with Laplace and Linnik statistics
