A class of fractional Ornstein-Uhlenbeck processes mixed with a Gamma distribution

DOI10.15559/22-VMSTA216MaRDI QIDQ6157628zbMATH OpenFDO

Authors Luigi Amedeo Bianchi, S. Bonaccorsi, Luciano Tubaro

Publication date 22 June 2023

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2105.06416

zbMATH Keywords

empirical meansfractional Ornstein-Uhlenbeck processesGamma mixinggeneralized Wright functionstochastic Volterra equations

Mathematics Subject Classification ID

Sample path properties (60G17) Fractional processes, including fractional Brownian motion (60G22)

Abstract: We consider a sequence of fractional Ornstein-Uhlenbeck processes, that are defined as solutions of a family of stochastic Volterra equations with kernel given by the Riesz derivative kernel, and leading coefficients given by a sequence of independent Gamma random variables. We construct a new process by taking the empirical mean of this sequence. In our framework, the processes involved are not Markovian, hence the analysis of their asymptotic behaviour requires some ad hoc construction. In our main result, we prove the almost sure convergence in the space of trajectories of the empirical means to a given Gaussian process, which we characterize completely.

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Cited in

(4)

• Long-range dependence through gamma-mixed Ornstein-Uhlenbeck process
• Gamma variates of fractional shape as functioials of a homogeneous multidimensional poisson process
• Gamma mixed fractional L\'evy Ornstein-Uhlenbeck process
• Generalized random processes related to Hadamard operators and Le Roy measures

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