Dynamic models of long-memory processes driven by Levy Noise

Heyde, C C; Anh, Phan Thi Vang; Leonenko, N N

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Dynamic models of long-memory processes driven by Levy Noise

Date

2002

Authors

Heyde, C C

Anh, Phan Thi Vang

Leonenko, N N

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