Fractional {O}rnstein-{U}hlenbeck processes (Q1767492)

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Fractional {O}rnstein-{U}hlenbeck processes
scientific article

    Statements

    title
    Fractional {O}rnstein-{U}hlenbeck processes (English)
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    author
    Patrick Cheridito
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    Hideyuki Kawaguchi
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    Makoto Maejima
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    publication date
    8 March 2005
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    zbMATH Keywords
    fractional Brownian motion
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    Langevin equation
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    long-range dependence
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    selfsimilar processes
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    Lamperti transformation
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    Identifiers

    Mathematics Subject Classification ID
    60G15
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    60G18
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    60H10
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    60J65
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    zbMATH DE Number
    2142105
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    OpenAlex ID
    W2028022601
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    DOI
    10.1214/EJP.V8-125
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