Representation of stationary and stationary increment processes via Langevin equation and self-similar processes

DOI10.1016/J.SPL.2016.03.020zbMATH Open1343.60040arXiv1407.6521OpenAlexW2151626977MaRDI QIDQ286454FDOQ286454

Authors: Lauri Viitasaari 

Publication date: 20 May 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Let $W_t$ be a standard Brownian motion. It is well-known that the Langevin equation $d{U}_t=-heta{U}_{t}dt+d{W}_t$ defines a stationary process called Ornstein-Uhlenbeck process. Furthermore, Langevin equation can be used to construct other stationary processes by replacing Brownian motion $W_t$ with some other process $G$ with stationary increments. In this article we prove that the converse also holds and all continuous stationary processes arise from a Langevin equation with certain noise $G=G_{h}eta$. Discrete analogies of our results are given and applications are discussed.

Full work available at URL: https://arxiv.org/abs/1407.6521

Recommendations

• Characterization of self-similar processes with stationary increments
• scientific article
• Self-similar stochastic processes with stationary increments as limits of particle systems
• A remark on self-similar processes with stationary increments
• On discrete-time self-similar processes with stationary increments
• scientific article; zbMATH DE number 1926057
• A class of asymptotically self-similar stable processes with stationary increments
• Integral Representations for Stochastic Processes with n‐th Stationary Increments

zbMATH Keywords

stationary processesLangevin equationLamperti transformself-similar processesstationary increment processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Self-similar stochastic processes (60G18) General theory of stochastic processes (60G07)

Cites Work

• Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Analysis of variations for self-similar processes. A stochastic calculus approach
• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• Self-similar processes with independent increments associated with Lévy and Bessel processes.
• Fractional {O}rnstein-{U}hlenbeck processes
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Reproducing kernel Hilbert space methods for wide-sense self-similar processes
• Self-similar processes with independent increments
• Representation of self-similar Gaussian processes
• On fractional Ornstein-Uhlenbeck processes
• Sharp large deviations for the fractional Ornstein-Uhlenbeck process
• An integral representation for selfdecomposable banach space valued random variables
• Title not available (Why is that?)
• Semi-Stable Stochastic Processes
• Drift parameter estimation for fractional Ornstein-Uhlenbeck process of the second kind
• Quasi Ornstein-Uhlenbeck processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Parameter estimation for fractional Ornstein-Uhlenbeck processes

Cited In (5)

• AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation
• A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
• On model Fitting and estimation of strictly stationary processes
• Note on AR(1)-characterisation of stationary processes and model fitting
• On Lamperti transformation and AR(1) type characterisations of discrete random fields

Uses Software

• YUIMA

This page was built for publication: Representation of stationary and stationary increment processes via Langevin equation and self-similar processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q286454)