Gaussian and hermite Ornstein-Uhlenbeck processes

被引：1
|
作者：
Es-Sebaiy, Khalifa [1 ]
机构：
[1] Kuwait Univ, Fac Sci, Dept Math, Kuwait, Kuwait
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2023年 / 41卷 / 02期
关键词：
Gaussian and Hermite Ornstein-Uhlenbeck processes; auto-covariance function; stationarity and ergodicity; Secondary; STOCHASTIC VOLATILITY; PARAMETER-ESTIMATION; LONG-MEMORY;
D O I：
10.1080/07362994.2021.2022495
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In the present paper we study the asymptotic behavior of the auto-covariance function for Ornstein-Uhlenbeck (OU) processes driven by Gaussian noises with stationary and non-stationary increments and for Hermite OU processes. Our results are generalizations of the corresponding results of Cheridito et al. and Kaarakka and Salminen.
引用
收藏
页码：394 / 423
页数：30
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