Large jumps of q-Ornstein-Uhlenbeck processes

DOI10.1016/J.SPL.2016.06.025zbMATH Open1347.60117arXiv1603.09685OpenAlexW2963894177MaRDI QIDQ312098FDOQ312098

Authors: Yizao Wang 

Publication date: 13 September 2016

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

Abstract: We continue the investigation of sample paths of $q$-Ornstein-Uhlenbeck process. We show that for all $qin(-1,1)$, the process has big jumps crossing from near one end point of the domain to the other with positive probability. Moreover, the number of such jumps in an appropriately enlarged window converges weakly to a Poisson random variable.

Full work available at URL: https://arxiv.org/abs/1603.09685

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zbMATH Keywords

extreme value theoryMarkov processessample paths\(q\)-Ornstein-Uhlenbeck processesdouble-sum methodmixing conditionPoisson limit theorem

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Sample path properties (60G17)

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Cited In (2)

• Extremes of \(q\)-Ornstein-Uhlenbeck processes
• The local structure of \(q\)-Gaussian processes

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