Multivariate supOU processes

DOI10.1214/10-AAP690zbMath1235.60032arXiv1101.0068WikidataQ115169524 ScholiaQ115169524MaRDI QIDQ627238

Robert Stelzer, Ole Eiler Barndorff-Nielsen

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

zbMATH Keywords

stochastic differential equation; long memory; normal matrices; Ornstein-Uhlenbeck-type processes; second-order moment structure; Lévy bases; positive semi-definite stochastic processes

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

60G51: Processes with independent increments; Lévy processes

60G10: Stationary stochastic processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G57: Random measures

Related Items

THE WISHART SHORT RATE MODEL, THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL, Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes, Functional regular variation of Lévy-driven multivariate mixed moving average processes, Random matrix models of stochastic integral type for free infinitely divisible distributions, Quasi Ornstein-Uhlenbeck processes, Stationary infinitely divisible processes, Infinitely divisible multivariate and matrix gamma distributions, Superposition of COGARCH processes, Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes, Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models

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