Quasi Ornstein-Uhlenbeck processes (Q638762): Difference between revisions

The paper studies existence and properties of what they call quasi-Ornstein-Uhlenbeck processes. These processes are defined as stationary solutions to Langevin equations \[ dX_t = -\lambda X_t dt + dN_t \] driven by a noise process \(N\) with stationary and, in general, dependent increments. Of particular interest are the cases where the noise process is of the pseudo-moving-average type. The results of the paper are the following. First, conditions for existence and uniqueness of stationary solutions to Langevin equations are given. Then, the autocovariance function associated to a solution is presented, and its asymptotic properties at infinity are discussed. As an intermediate step, a Fubini theorem for Lévy bases is established. Finally, explicit forms of Wold-Karhunen representations are derived and used to analyze, under more specialized assumptions, the asymptotics of associated autocovariance functions, both at infinity and at zero.