Gaussian and hermite Ornstein–Uhlenbeck processes

DOI10.1080/07362994.2021.2022495MaRDI QIDQ5880403zbMATH OpenOpenAlexFDO

Authors K. Es-Sebaiy

Publication date 9 March 2023

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2106.12311

zbMATH Keywords

auto-covariance functionGaussian and Hermite Ornstein-Uhlenbeck processesstationarity and ergodicity

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

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• Estimation and pricing under long-memory stochastic volatility
• Fractional {O}rnstein-{U}hlenbeck processes
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• Long memory in continuous-time stochastic volatility models
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• Normal approximations with Malliavin calculus. From Stein's method to universality
• On fractional Ornstein-Uhlenbeck processes
• Optimal rates for parameter estimation of stationary Gaussian processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case
• Quasi Ornstein-Uhlenbeck processes
• Stochastic processes and long range dependence
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• The fractional Ornstein-Uhlenbeck process as a representation of homogeneous Eulerian velocity turbulence
• Volatility is rough
• Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem

Cited in

(10)

• Generalized continuous time random walks and Hermite processes
• Tempered Hermite process
• scientific article; zbMATH DE number 1200198 (Why is no real title available?)
• scientific article; zbMATH DE number 599131 (Why is no real title available?)
• Hermite Ornstein-Uhlenbeck processes mixed with a gamma distribution
• Kolmogorov bounds in the CLT of the LSE for Gaussian Ornstein Uhlenbeck processes
• Generalized Wiener–Hermite integrals and rough non-Gaussian Ornstein–Uhlenbeck process
• Gaussian and Hermite Ornstein-Uhlenbeck processes
• Quasi Ornstein-Uhlenbeck processes
• Berry-Esséen bounds for the statistical estimators of an Ornstein-Uhlenbeck process driven by a general Gaussian noise

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