Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series

DOI10.4064/sm181-1-4zbMath1123.60045MaRDI QIDQ5293332

Publication date: 29 June 2007

Published in: Studia Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/sm181-1-4

zbMATH Keywords

Ornstein-Uhlenbeck process; long memory; \(\alpha\)-stable processes; fractional Langevin equation; fractional ARIMA time series

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G10: Stationary stochastic processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G52: Stable stochastic processes

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