Dynamic models of long-memory processes driven by Levy Noise
Date
2002
Authors
Heyde, C C
Anh, Phan Thi Vang
Leonenko, N N
Journal Title
Journal ISSN
Volume Title
Publisher
Applied Probability Trust
Abstract
A class of continuous-time models is developed for modelling data with heavy tails and long-range dependence. These models are based on the Green function solutions of fractional differential equations driven by Lévy noise. Some exact results on the seco
Description
Keywords
Keywords: Fractional stochastic differential equations; Heavy-tailed processes; Lévy processes; Long-range dependence
Citation
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Source
Journal of Applied Probability
Type
Journal article