Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes

DOI10.1016/j.spa.2005.05.004zbMath1080.60056OpenAlexW1991396442MaRDI QIDQ2568302

Alexander M. Lindner, Ross A. Maller

Publication date: 10 October 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2005.05.004

zbMATH Keywords

autocovariance functionstochastic integralstrict stationarityheavy-tailed behaviour

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25) Strong limit theorems (60F15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

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