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Fractional Integral Equations and State Space Transforms

Buchmann, Boris; Klueppelberg, Claudia C

Description

We introduce a class of stochastic differential equations driven by fractional Brownian motion which allow for a constructive method in order to obtain stationary solutions. This leads to a substantial extension of the fractional Ornstein-Uhlenbeck processes. Structural properties of this class of new models are investigated, and their stationary densities are explicitly given.

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
URI: http://hdl.handle.net/1885/24366
Source: Bernoulli
DOI: 10.3150/bj/1151525129

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