On fractional Ornstein-Uhlenbeck processes
From MaRDI portal
Abstract: In this paper we study Doob's transform of fractional Brownian motion (FBM). It is well known that Doob's transform of standard Brownian motion is identical in law with the Ornstein-Uhlenbeck diffusion defined as the solution of the (stochastic) Langevin equation where the driving process is a Brownian motion. It is also known that Doob's transform of FBM and the process obtained from the Langevin equation with FBM as the driving process are different. However, also the first one of these can be described as a solution of a Langevin equation but now with some other driving process than FBM. We are mainly interested in the properties of this new driving process denoted Y^{(1)}. We also study the solution of the Langevin equation with Y^{(1)} as the driving process. Moreover, we show that the covariance of Y^{(1)} grows linearly; hence, in this respect Y^{(1)} is more like a standard Brownian motion than a FBM. In fact, it is proved that a properly scaled version of Y^{(1)} converges weakly to Brownian motion.
Recommendations
- Fractional {O}rnstein-{U}hlenbeck processes
- Some properties of the fractional Ornstein–Uhlenbeck process
- Generalized Ornstein Uhlenbeck processes and associated self-similar processes
- Fractional integral equations and state space transforms
- On the local times of fractional Ornstein-Uhlenbeck process
Cited in
(54)- Fractional Ornstein-Uhlenbeck noise
- Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind
- Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean
- Fractional {O}rnstein-{U}hlenbeck processes
- Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind
- Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency
- Gaussian random bridges and a geometric model for information equilibrium
- Martingale representation and logarithmic-Sobolev inequality for the fractional Ornstein-Uhlenbeck measure
- Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions
- Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind
- Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications
- Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
- Optimal rates for parameter estimation of stationary Gaussian processes
- Almost sure central limit theorems for random ratios and applications to LSE for fractional Ornstein-Uhlenbeck processes
- The fBm-driven Ornstein-Uhlenbeck process: probability density function and anomalous diffusion
- Representation of stationary and stationary increment processes via Langevin equation and self-similar processes
- Sharp large deviations for the fractional Ornstein-Uhlenbeck process
- Long-memory Gaussian processes governed by generalized Fokker-Planck equations
- \(L_{2}\)-small deviations for weighted stationary processes
- Stochastic averaging of quasi-non-integrable Hamiltonian systems under fractional Gaussian noise excitation
- Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
- Large deviation principle for Volterra type fractional stochastic volatility models
- Optimal portfolio under fast mean-reverting fractional stochastic environment
- Correction to Black-Scholes formula due to fractional stochastic volatility
- Estimation of the Hurst parameter in some fractional processes
- Fractional iterated Ornstein-Uhlenbeck processes
- Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
- Fractional stochastic volatility correction to CEV implied volatility
- On the Lamperti transform of the fractional Brownian sheet
- First passage times for some classes of fractional time-changed diffusions
- The Fokker-Planck equation for the time-changed fractional Ornstein-Uhlenbeck stochastic process
- Volatility estimation in fractional Ornstein-Uhlenbeck models
- Fractional oscillator noise and its applications
- Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes
- FRACTIONAL LÉVY PROCESSES AND NOISES ON GEL′FAND TRIPLE
- Representation of a fractional Brownian motion in terms of an infinite-dimensional Ornstein-Uhlenbeck process
- Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case
- Weyl and Riemann–Liouville multifractional Ornstein–Uhlenbeck processes
- Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
- Option pricing under fast-varying long-memory stochastic volatility
- Gaussian and hermite Ornstein–Uhlenbeck processes
- Kolmogorov bounds in the CLT of the LSE for Gaussian Ornstein Uhlenbeck processes
- Rough volatility via the Lamperti transform
- A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model
- A GMM approach to estimate the roughness of stochastic volatility
- Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes
- On sharp rate of convergence for discretization of integrals driven by fractional Brownian motions and related processes with discontinuous integrands
- Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind
- Moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck processes with periodic mean
- On Lamperti transformation and AR(1) type characterisations of discrete random fields
- Parameter estimation for the Langevin equation with stationary-increment Gaussian noise
- An active fractional Ornstein-Uhlenbeck particle: diffusion and dissipation
- Path-integrals and optimal paths for the fractional Ornstein-Uhlenbeck process
- On integration by parts formula and characterization of fractional Ornstein-Uhlenbeck process
This page was built for publication: On fractional Ornstein-Uhlenbeck processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2787466)
