Well-balanced Lévy driven Ornstein–Uhlenbeck processes

DOI10.1524/strm.2011.1089zbMath1235.60014arXiv1012.0691MaRDI QIDQ3107438

Alexander Schnurr, Jeannette H. C. Woerner

Publication date: 23 December 2011

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.0691

zbMATH Keywords

Ornstein-Uhlenbeck process; infinitely divisible distribution; Lévy process; autocorrelation; semimartingale; financial modelling

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

60E10: Characteristic functions; other transforms

91G80: Financial applications of other theories

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Cites Work

• Lévy driven moving averages and semimartingales
• Spectral representations of infinitely divisible processes
• On roughness indices for fractional fields
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• Fractional Lévy processes with an application to long memory moving average processes
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Electricity spot price modelling with a view towards extreme spike risk