Superposition of Ornstein-Uhlenbeck type processes
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This paper studies a class of superpositions of Ornstein-Uhlenbeck type processes in terms of integrals with respect to independently scattered random measures. The paper develops flexible classes of processes that incorporate long-range dependence and self-similarity-like properties and that are capable of describing some of the other key distributional features of typical data in finance, turbulence, and other fields.
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- Singular properties of high-order spectral densities of supOU processes
- Almost sure growth of integrated supOU processes
- Positively decreasing and related distributions under dependence
- Applications of a superposed Ornstein-Uhlenbeck type processes
- First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process
- Dickman type stochastic processes with short- and long- range dependence
- Volatility modelling in a Markov-switching environment: two Ornstein-Uhlenbeck-related approaches
- Mixed moving average field guided learning for spatio-temporal data
- Construction and limit theorems for supCAR fields
- Simulation of supOU processes with specified marginal distribution and correlation function
- Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
- Integrability conditions for space-time stochastic integrals: theory and applications
- A class of non-Gaussian second order random fields
- Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
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