Fractional {O}rnstein-{U}hlenbeck processes

DOI10.1214/EJP.V8-125zbMath1065.60033OpenAlexW2028022601MaRDI QIDQ1767492

Hideyuki Kawaguchi, Patrick Cheridito, Makoto Maejima

Publication date: 8 March 2005

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/124790

zbMATH Keywords

fractional Brownian motionLangevin equationlong-range dependenceLamperti transformationselfsimilar processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Self-similar stochastic processes (60G18)

Related Items (only showing first 100 items - show all)

Gaussian and hermite Ornstein–Uhlenbeck processes ⋮ Functional limit theorems for Volterra processes and applications to homogenization* ⋮ Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models ⋮ Volatility is rough ⋮ Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion ⋮ Unnamed Item ⋮ Almost periodic and periodic solutions of differential equations driven by the fractional Brownian motion with statistical application ⋮ Central limit theorems and minimum-contrast estimators for linear stochastic evolution equations ⋮ Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment ⋮ Estimation of the Hurst parameter in the simultaneous presence of jumps and noise ⋮ The Fokker–Planck equation for the time-changed fractional Ornstein–Uhlenbeck stochastic process ⋮ Latent local-to-unity models ⋮ Rough volatility via the Lamperti transform ⋮ Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes ⋮ Wasserstein bounds in CLT of approximative MCE and MLE of the drift parameter for Ornstein-Uhlenbeck processes observed at high frequency ⋮ A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model ⋮ Wiener Spiral for Volatility Modeling ⋮ Modelling and parameter estimation for discretely observed fractional iterated Ornstein-Uhlenbeck processes ⋮ Generalized Wiener–Hermite integrals and rough non-Gaussian Ornstein–Uhlenbeck process ⋮ A GMM approach to estimate the roughness of stochastic volatility ⋮ Optimal estimation of the rough Hurst parameter in additive noise ⋮ Unnamed Item ⋮ Landscapes of random diffusivity processes in harmonic potential ⋮ Asymptotically efficient estimation of ergodic rough fractional Ornstein-Uhlenbeck process under continuous observations ⋮ Informative fractal dimension associated with nonmetricity in information geometry ⋮ Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process ⋮ Calibrating fractional Vasicek model ⋮ Impact of rough stochastic volatility models on long-term life insurance pricing ⋮ Optimal stable Ornstein-Uhlenbeck regression ⋮ Bifurcation dynamics of the tempered fractional Langevin equation ⋮ On the (non)stationary density of fractional-driven stochastic differential equations ⋮ A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations ⋮ Asymptotic normality for a modified quadratic variation of the Hermite process ⋮ APPROXIMATE PRICING OF DERIVATIVES UNDER FRACTIONAL STOCHASTIC VOLATILITY MODEL ⋮ Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility ⋮ Pathwise Decompositions of Brownian Semistationary Processes ⋮ Non parametric estimation for fractional diffusion processes with random effects ⋮ Maxima of stochastic processes driven by fractional Brownian motion ⋮ Long-memory Gaussian processes governed by generalized Fokker-Planck equations ⋮ Normal convergence using Malliavin calculus with applications and examples ⋮ Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes ⋮ On the exponential process associated with a CARMA-type process ⋮ The Lamperti Transforms of Self-Similar Gaussian Processes and Their Exponentials ⋮ Optimal Sequential Change Detection for Fractional Diffusion-Type Processes ⋮ Estimation of the Hurst parameter in some fractional processes ⋮ Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment ⋮ Option pricing under fast‐varying long‐memory stochastic volatility ⋮ Small ball probabilities for stable convolutions ⋮ Minimum Contrast Estimation for Fractional Diffusions ⋮ Analysis of the Rosenblatt process ⋮ Moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck processes with periodic mean ⋮ Consistency results of the M-regression function estimator for stationary continuous-time and ergodic data ⋮ Global attracting set of stochastic differential equations with unbounded delay driven by fractional Ornstein-Uhlenbeck process ⋮ Multifractional Brownian motion characterization based on Hurst exponent estimation and statistical learning ⋮ Goodness-of-fit test for stochastic processes using even empirical moments statistic ⋮ Moderate deviation principle for multiscale systems driven by fractional Brownian motion ⋮ Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind ⋮ Upper semicontinuity of random attractors for random differential equations with nonlinear diffusion terms. I: Finite-dimensional case ⋮ Pathwise synchronization of global coupled system with linear multiplicative rough noise ⋮ Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory ⋮ Control and stochastic dynamic behavior of fractional Gaussian noise-excited time-delayed inverted pendulum system ⋮ On the Structure and Estimation of Reflection Positive Processes ⋮ On Estimation of Hurst Parameter Under Noisy Observations ⋮ Fractional Brownian motion in confining potentials: non-equilibrium distribution tails and optimal fluctuations ⋮ Asymptotic normality of estimators for all parameters in the Vasicek model by discrete observations ⋮ On Lamperti transformation and AR(1) type characterisations of discrete random fields ⋮ Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise ⋮ Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes ⋮ Least squares estimation for the Ornstein-Uhlenbeck process with small Hermite noise ⋮ Almost sure averaging for evolution equations driven by fractional Brownian motions ⋮ Long-time Hurst regularity of fractional stochastic differential equations and their ergodic means ⋮ Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model ⋮ Functional limit theorems for power series with rapid decay of moving averages of Hermite processes ⋮ On the wavelet-based simulation of anomalous diffusion ⋮ Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case ⋮ A multifractal model for the velocity gradient dynamics in turbulent flows ⋮ Fractional Stokes–Boussinesq–Langevin equation and Mittag-Leffler correlation decay ⋮ Limit behavior of the Rosenblatt Ornstein–Uhlenbeck process with respect to the Hurst index ⋮ HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS ⋮ Berry-Ess\'een bounds for parameter estimation of general Gaussian processes ⋮ Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations ⋮ Asymptotic theory for the detection of mixing in anomalous diffusion ⋮ Discriminating Gaussian processes via quadratic form statistics ⋮ Pricing under rough volatility ⋮ Spectral asymptotics for a class of integro-differential equations arising in the theory of fractional Gaussian processes ⋮ Fractional stochastic volatility correction to CEV implied volatility ⋮ Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes ⋮ Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kind ⋮ Multifractal processes: definition, properties and new examples ⋮ Fourth moment bound and stationary Gaussian processes with positive correlation ⋮ Arbitrage with fractional Gaussian processes ⋮ Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process ⋮ Asymptotic accuracy in estimation of a fractional signal in a small white noise ⋮ Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices ⋮ Representation of stationary and stationary increment processes via Langevin equation and self-similar processes ⋮ Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency ⋮ Out of sample forecasts of quadratic variation ⋮ Pathwise least-squares estimator for linear SPDEs with additive fractional noise ⋮ Adaptative design for estimation of parameter of second order differential equation in fractional diffusion system ⋮ Issues with the Smith-Wilson method

This page was built for publication: Fractional {O}rnstein-{U}hlenbeck processes