Intermittency of superpositions of Ornstein-Uhlenbeck type processes
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Publication:505564
DOI10.1007/S10955-016-1616-7zbMATH Open1356.60121arXiv1512.00670OpenAlexW2270826520MaRDI QIDQ505564FDOQ505564
Authors: Danijel Grahovac, Alla Sikorskii, Irena Tešnjak, Nikolai N. Leonenko 
Publication date: 26 January 2017
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Abstract: The phenomenon of intermittency has been widely discussed in physics literature. This paper provides a model of intermittency based on L'evy driven Ornstein-Uhlenbeck (OU) type processes. Discrete superpositions of these processes can be constructed to incorporate non-Gaussian marginal distributions and long or short range dependence. While the partial sums of finite superpositions of OU type processes obey the central limit theorem, we show that the partial sums of a large class of infinite long range dependent superpositions are intermittent. We discuss the property of intermittency and behavior of the cumulants for the superpositions of OU type processes.
Full work available at URL: https://arxiv.org/abs/1512.00670
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Central limit and other weak theorems (60F05) Diffusion processes (60J60) Stationary stochastic processes (60G10)
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