Some properties of the fractional Ornstein–Uhlenbeck process

DOI10.1088/1751-8113/41/14/145007zbMath1148.60024OpenAlexW2048067299MaRDI QIDQ5460425

Zhiqiang Xu, Yunsheng Lu, Litan Yan

Publication date: 28 April 2008

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1751-8113/41/14/145007

zbMATH Keywords

fractional Brownian motionOrnstein-Uhlenbeck processlocal timelocal non-determinism

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Related Items (4)

The least squares estimator for an Ornstein-Uhlenbeck process driven by a Hermite process with a periodic mean ⋮ The local time of the fractional Ornstein-Uhlenbeck process ⋮ Asymptotic behaviour of randomised fractional volatility models ⋮ Nonparametric predictive regression

This page was built for publication: Some properties of the fractional Ornstein–Uhlenbeck process