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

DOI10.1016/J.SPL.2016.03.020MaRDI QIDQ286454zbMATH OpenOpenAlexFDO

Authors Lauri Viitasaari

Publication date 20 May 2016

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

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

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)

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.

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Cited in

(5)

• Note on AR(1)-characterisation of stationary processes and model fitting
• 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
• AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation
• On Lamperti transformation and AR(1) type characterisations of discrete random fields

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Uses Software

• YUIMA

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