Multivariate supOU processes
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Publication:627238
DOI10.1214/10-AAP690zbMath1235.60032arXiv1101.0068OpenAlexW2031278833WikidataQ115169524 ScholiaQ115169524MaRDI QIDQ627238
Ole Eiler Barndorff-Nielsen, Robert Stelzer
Publication date: 21 February 2011
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1101.0068
stochastic differential equationlong memorynormal matricesOrnstein-Uhlenbeck-type processessecond-order moment structureLévy basespositive semi-definite stochastic processes
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random measures (60G57)
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