Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes

DOI10.3150/18-BEJ1086zbMath1466.60116arXiv1806.07657OpenAlexW3003169868MaRDI QIDQ2295017

Yanyan Li

Publication date: 12 February 2020

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.07657

zbMATH Keywords

semimartingalesstochastic differential equationslong-range dependencemoving average processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Related Items (1)

Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes

Uses Software

• longmemo

Cites Work

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