Intermittency of superpositions of Ornstein-Uhlenbeck type processes

DOI10.1007/S10955-016-1616-7MaRDI QIDQ505564zbMATH OpenOpenAlexFDO

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)

Full work available at URL https://arxiv.org/abs/1512.00670

zbMATH Keywords

weak convergenceintermittencylong range dependenceOrnstein-Uhlenbeck-type processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60) Stationary stochastic processes (60G10)

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.

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Cited in

(15)

• Designing cost-efficient inspection schemes for stochastic streamflow environment using an effective Hamiltonian approach
• Weak dependence and GMM estimation of supOU and mixed moving average processes
• Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
• Asymptotic results for finite superpositions of Ornstein-Uhlenbeck processes
• The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
• Centre-of-mass like superposition of Ornstein-Uhlenbeck processes: A pathway to non-autonomous stochastic differential equations and to fractional diffusion
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