Ornstein-Uhlenbeck process driven by \(\alpha\)-stable process and its gamma subordination

DOI10.1007/s11009-023-09999-wzbMath1515.62097OpenAlexW4318827549MaRDI QIDQ6164836

Janusz Gajda, Agnieszka Wyłomańska, Aleksandra Grzesiek

Publication date: 4 July 2023

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-023-09999-w

zbMATH Keywords

Ornstein-Uhlenbeck process\(\alpha\)-stable processesgamma subordinator

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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