Fractional integral equations and state space transforms

DOI10.3150/bj/1151525129zbMath1114.60048OpenAlexW2083673112MaRDI QIDQ850753

Boris Buchmann, Claudia Klüppelberg

Publication date: 6 November 2006

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1151525129

zbMATH Keywords

fractional Brownian motionstochastic differential equationsLangevin equationstochastic calculuslong-range dependencefractional integralRiemann-Stieltjes integralsfractional Ornstein-Uhlenbeck processfractional Vasicek modelstate space transform

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Volterra integral equations (45D05)

Related Items (9)

Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory ⋮ Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations ⋮ Large deviations in testing fractional Ornstein-Uhlenbeck models ⋮ Fractional Lévy Cox-Ingersoll-Ross and Jacobi processes ⋮ Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk ⋮ Multivariate fractionally integrated CARMA processes ⋮ Conditional Distributions of Processes Related to Fractional Brownian Motion ⋮ Generalized fractional Lévy processes with fractional Brownian motion limit ⋮ A fractionally integrated Wishart stochastic volatility model

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