Generalized Ornstein-Uhlenbeck processes and extensions.

MaRDI QIDQ3224998zbMATH OpenFDO

Authors Anita Behme

Publication date 13 March 2012

Full work available at URL http://www.digibib.tu-bs.de/?docid=00040009

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Generalized stochastic processes (60G20) Stochastic integrals (60H05)

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Cited in

(19)

• Continuity properties and infinite divisibility of stationary distributions of some generalized Ornstein-Uhlenbeck processes
• Volterra-type Ornstein-Uhlenbeck processes in space and time
• Ergodic properties of generalized Ornstein-Uhlenbeck processes
• Superposition of COGARCH processes
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
• Generalized Ornstein-Uhlenbeck processes associated with martingales and their application in finance
• Some classes of proper integrals and generalized Ornstein-Uhlenbeck processes
• Properties of stationary distributions of a sequence of generalized Ornstein -- Uhlenbeck processes
• Distributional properties of solutions of \(\text dV_{T} = V_{T-} \text dU_{T} + \text dL_T\) with Lévy noise
• Generalized Ornstein-Uhlenbeck processes on separable Banach spaces
• scientific article; zbMATH DE number 3919478 (Why is no real title available?)
• Multivariate generalized Ornstein-Uhlenbeck processes
• scientific article; zbMATH DE number 2149876 (Why is no real title available?)
• Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise
• Quasi Ornstein-Uhlenbeck processes
• A closed form formula for the stochastic exponential of a matrix-valued semimartingale
• The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes
• Statistical inference for generalized Ornstein-Uhlenbeck processes
• A new formula for some linear stochastic equations with applications

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