Applications of a superposed Ornstein-Uhlenbeck type processes

DOI10.31390/JOSA.3.4.03MaRDI QIDQ6922965zbMATH OpenFDO

Authors Santatriniaina A. Randrianambinina, Julius Esunge

Publication date 30 September 2025

Published in Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.31390/JOSA.3.4.03

zbMATH Keywords

cumulantsFATGBMlong range dependenceLévy processesmomentsOrnstein-Uhlenbeck process (OU)self-decomposabilitysup-OU processes

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Stationary stochastic processes (60G10) Parametric hypothesis testing (62F03)

Cites work

• A normal inverse Gaussian model for a risky asset with dependence
• A risky asset model with strong dependence through fractal activity time
• Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
• Empirical realities for a minimal description risky asset model. The need for fractal features
• Intermittency of superpositions of Ornstein-Uhlenbeck type processes
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Some stationary processes in discrete and continuous time
• Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
• Stationary-increment Student and variance-gamma processes
• Stochastic differential equations. An introduction with applications.
• Student processes
• Superposition of Ornstein-Uhlenbeck type processes
• The Variance Gamma Process and Option Pricing

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