Some classes of proper integrals and generalized Ornstein-Uhlenbeck processes

DOI10.1007/978-3-642-27461-9_3zbMATH Open1255.60083OpenAlexW15756584MaRDI QIDQ2906155FDOQ2906155

Authors: Andreas Basse-O'Connor, Svend-Erik Graversen, Jan Pedersen 

Publication date: 29 August 2012

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-27461-9_3

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zbMATH Keywords

Levy processesstochastic integralsgeneralized Ornstein-Uhlenbeck processWold-Karhunen representation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Generalizations of martingales (60G48) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Cited In (9)

• On the integral of the sum of squared Ornstein-Uhlenbeck processes
• Integrated stationary Ornstein-Uhlenbeck process, and double integral processes
• The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes
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• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
• Title not available (Why is that?)
• Generalized Ornstein-Uhlenbeck processes and extensions.
• Representations of Urbanik's classes and multiparameter Ornstein-Uhlenbeck processes
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