On the exponentials of fractional Ornstein-Uhlenbeck processes
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Publication:1039117
DOI10.1214/EJP.v14-628zbMath1191.60048MaRDI QIDQ1039117
Muneya Matsui, Narn-Rueih Shieh
Publication date: 20 November 2009
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/232107
fractional Brownian motion; long memory; long range dependence; fractional Ornstein-Uhlenbeck process; Burkholder-Davis-Gundy inequalities; exponential process
60G15: Gaussian processes
60E15: Inequalities; stochastic orderings
60G22: Fractional processes, including fractional Brownian motion
60G17: Sample path properties
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