Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations

DOI10.3150/10-BEJ281zbMath1284.60080arXiv1102.1830OpenAlexW3106197016MaRDI QIDQ637113

Claudia Klüppelberg, Holger Fink

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.1830

zbMATH Keywords

stochastic differential equationlong-range dependencefractional integral equationfractional Lévy processfractional Lévy-Ornstein-Uhlenbeck processp-variationRiemann-Stieltjes integrationstationary solution to a fractional SDE

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (18)

Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory ⋮ Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean ⋮ Order estimation for a fractional Brownian motion model of glucose control ⋮ Evaluation of integrals with fractional Brownian motion for different Hurst indices ⋮ Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals ⋮ Fractional processes and their statistical inference: an overview ⋮ Nonparametric estimation of trend for stochastic differential equations driven by fractional Levy process ⋮ Fractional Lévy Cox-Ingersoll-Ross and Jacobi processes ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise ⋮ Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk ⋮ Conditional Distributions of Processes Related to Fractional Brownian Motion ⋮ Asymptotic behavior of the stochastic Rayleigh-van der Pol equations with jumps ⋮ Generalized fractional Lévy processes with fractional Brownian motion limit ⋮ Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations ⋮ Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process ⋮ Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations ⋮ A fractionally integrated Wishart stochastic volatility model ⋮ A generalised Itō formula for Lévy-driven Volterra processes

Cites Work

• Fractional integral equations and state space transforms
• On the gap between deterministic and stochastic ordinary differential equations
• Integration with respect to fractal functions and stochastic calculus. I
• Fractional {O}rnstein-{U}hlenbeck processes
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• Additive processes and stochastic integrals
• Fractional Lévy processes with an application to long memory moving average processes
• An inequality of the Hölder type, connected with Stieltjes integration
• Integration with respect to Fractal Functions and Stochastic Calculus II
• A Theory of the Term Structure of Interest Rates
• On the prediction of fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations