Gaussian and Hermite Ornstein-Uhlenbeck processes

DOI10.1080/07362994.2021.2022495MaRDI QIDQ6371050arXivFDO

Authors K. Es-Sebaiy

Publication date 23 June 2021

Published in arXiv

Full work available at URL https://doi.org/10.1080/07362994.2021.2022495

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

arXiv classification

math.PRmath.STstat.TH

Abstract: In the present paper we study the asymptotic behavior of the auto-covariance function for Ornstein-Uhlenbeck (OU) processes driven by Gaussian noises with stationary and non-stationary increments and for Hermite OU processes. Our results are generalizations of the corresponding results of Cheridito et al. cite{CKM} and Kaarakka and Salminen cite{KS}.

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