The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes

DOI10.1016/J.SPL.2008.01.096zbMATH Open1283.60067OpenAlexW2058783468MaRDI QIDQ730749FDOQ730749

Authors Kotaro Endo, Muneya Matsui

Publication date 30 September 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0807.2110

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25) Stochastic integrals (60H05)

Abstract: We introduce an extended version of the fractional Ornstein-Uhlenbeck (FOU) process where the integrand is replaced by the exponential of an independent L'evy process. We call the process the generalized fractional Ornstein-Uhlenbeck (GFOU) process. Alternatively, the process can be constructed from a generalized Ornstein-Uhlenbeck (GOU) process using an independent fractional Brownian motion (FBM) as integrator. We show that the GFOU process is well-defined by checking the existence of the integral included in the process, and investigate its properties. It is proved that the process has a stationary version and exhibits long memory. We also find that the process satisfies a certain stochastic differential equation. Our underlying intention is to introduce long memory into the GOU process which has short memory without losing the possibility of jumps. Note that both FOU and GOU processes have found application in a variety of fields as useful alternatives to the Ornstein-Uhlenbeck (OU) process.

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Cited in

(11)

• Multivariate generalized Ornstein-Uhlenbeck processes
• Generalized Ornstein-Uhlenbeck processes and extensions.
• scientific article; zbMATH DE number 3860094 (Why is no real title available?)
• Generalized Ornstein-Uhlenbeck processes
• Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion
• scientific article; zbMATH DE number 3919478 (Why is no real title available?)
• Some classes of proper integrals and generalized Ornstein-Uhlenbeck processes
• Stationarity of multivariate particle systems
• Structural characterization of taboo-stationarity for general processes in two-sided time.
• Stationary solutions of retarded Ornstein-Uhlenbeck processes in Hilbert spaces
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes

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