Diffusion-type models with given marginal distribution and autocorrelation function

DOI10.3150/bj/1116340291zbMath1066.60071OpenAlexW1983874721MaRDI QIDQ1781184

Ib Michael Skovgaard, Michael Sørensen, Bo Martin Bibby

Publication date: 23 June 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1116340291

zbMATH Keywords

stochastic differential equation saddlepoint approximation turbulence long-range dependence ergodic diffusions generalized hyperbolic distributions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

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Cites Work