Generalized Ornstein Uhlenbeck processes and associated self-similar processes

DOI10.1088/0305-4470/36/14/303zbMath1083.60029OpenAlexW2036639511MaRDI QIDQ4468057

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Publication date: 10 June 2004

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

Full work available at URL: https://doi.org/10.1088/0305-4470/36/14/303

zbMATH Keywords

local stationarityfractional Langevin equationfractional Brownian motion, Lamperti's transformation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

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