Characteristic function of time-inhomogeneous Lévy-driven Ornstein-Uhlenbeck processes

DOI10.1016/j.spl.2016.04.013zbMath1342.60135arXiv1604.05117OpenAlexW2344513115MaRDI QIDQ297142

Frédéric Vrins

Publication date: 24 June 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.05117

zbMATH Keywords

Lévy processescharacteristic functionsOrnstein-Uhlenbeck processescompound Poisson processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic integrals (60H05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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