Some classes of proper integrals and generalized Ornstein-Uhlenbeck processes

DOI10.1007/978-3-642-27461-9_3MaRDI QIDQ2906155zbMATH OpenOpenAlexFDO

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

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)

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