The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes

DOI10.1016/J.SPL.2008.01.096zbMATH Open1283.60067arXiv0807.2110OpenAlexW2058783468MaRDI QIDQ730749FDOQ730749

Authors: Kotaro Endo, Muneya Matsui 

Publication date: 30 September 2009

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

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.

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

Recommendations

• Multivariate generalized Ornstein-Uhlenbeck processes
• Sato's conjecture on recurrence conditions for multidimensional processes of Ornstein-Uhlenbeck type
• Generalized Ornstein-Uhlenbeck processes and extensions.
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
• Some classes of proper integrals and generalized Ornstein-Uhlenbeck processes

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Stability and attraction to normality for Lévy processes at zero and at infinity
• Title not available (Why is that?)
• Title not available (Why is that?)
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
• Some properties of exponential integrals of Levy processes and examples
• Title not available (Why is that?)
• Computations of moments for discounted Brownian additive functionals

Cited In (11)

• Multivariate generalized Ornstein-Uhlenbeck processes
• Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion
• Title not available (Why is that?)
• Stationary solutions of retarded Ornstein-Uhlenbeck processes in Hilbert spaces
• Generalized Ornstein-Uhlenbeck processes
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
• Generalized Ornstein-Uhlenbeck processes and extensions.
• Structural characterization of taboo-stationarity for general processes in two-sided time.
• Stationarity of multivariate particle systems
• Title not available (Why is that?)
• Some classes of proper integrals and generalized Ornstein-Uhlenbeck processes

This page was built for publication: The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q730749)