Fractional Ornstein-Uhlenbeck processes mixed with a gamma distribution

DOI10.1142/S0218348X15500322MaRDI QIDQ2806517zbMATH OpenFDO

Authors K. Es-Sebaiy, Ciprian A. Tudor

Publication date 18 May 2016

Published in Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0218348X15500322

zbMATH Keywords

long-range dependencefractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Fractals (28A80)

Cited in

(5)

• Gamma variates of fractional shape as functioials of a homogeneous multidimensional poisson process
• A class of fractional Ornstein-Uhlenbeck processes mixed with a Gamma distribution
• Long-range dependence through gamma-mixed Ornstein-Uhlenbeck process
• Parameter estimation for the Langevin equation with stationary-increment Gaussian noise
• Weyl multifractional Ornstein-Uhlenbeck processes mixed with a gamma distribution

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