Fractional {O}rnstein-{U}hlenbeck processes

DOI10.1214/EJP.v8-125zbMath1065.60033OpenAlexW2028022601MaRDI QIDQ1767492

Hideyuki Kawaguchi, Patrick Cheridito, Makoto Maejima

Publication date: 8 March 2005

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/124790

zbMATH Keywords

fractional Brownian motionLangevin equationlong-range dependenceLamperti transformationselfsimilar processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Self-similar stochastic processes (60G18)

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