Short and Long Memory Fractional Ornstein–Uhlenbeck α-Stable Processes

DOI10.1080/15326340701471091zbMath1125.60042OpenAlexW2063163095MaRDI QIDQ5421585

Marcin Magdziarz

Publication date: 24 October 2007

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340701471091

zbMATH Keywords

Langevin equationOrnstein-Uhlenbeck processlong memorystable processesLamperti transformation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stable stochastic processes (60G52)

Related Items (8)

Inference procedures for stable-Paretian stochastic volatility models ⋮ Langevin picture of Lévy walks and their extensions ⋮ Fractional Klein–Kramers dynamics for subdiffusion and Itô formula ⋮ Correlated continuous-time random walks—scaling limits and Langevin picture ⋮ Path Properties of Subdiffusion—A Martingale Approach ⋮ Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence ⋮ Correlation cascades, ergodic properties and long memory of infinitely divisible processes ⋮ Selfsimilar diffusions

Uses Software

• longmemo

Cites Work

• Simple conditions for mixing of infinitely divisible processes
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