Cultural advice

The Australian National University acknowledges, celebrates and pays our respects to the Ngunnawal and Ngambri people of the Canberra region and to all First Nations Australians on whose traditional lands we meet and work, and whose cultures are among the oldest continuing cultures in human history.

Aboriginal and Torres Strait Islander peoples are advised that ANU Library collections may include images, names, voices, and other representations of deceased persons.

Material in the collection may contain terms, language or views that reflect the period in which the item was created and may be considered inappropriate today.

Fractional Integral Equations and State Space Transforms

Simple item page
dc.contributor.authorBuchmann, Boris
dc.contributor.authorKlueppelberg, Claudia C
dc.date.accessioned2015-12-07T22:41:33Z
dc.date.issued2006
dc.date.updated2015-12-07T11:02:22Z
dc.description.abstractWe 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.
dc.identifier.issn1350-7265
dc.identifier.urihttp://hdl.handle.net/1885/24366
dc.publisherChapman & Hall
dc.sourceBernoulli
dc.subjectKeywords: Fractional Brownian motion; Fractional integral; Fractional Ornstein-Uhlenbeck process; Fractional Vasicek model; Langevin equation; Long-range dependence; Riemann-Stieltjes integrals; Solution of stochastic differential equations; State space transform;
dc.titleFractional Integral Equations and State Space Transforms
dc.typeJournal article
local.bibliographicCitation.issue3
local.bibliographicCitation.lastpage456
local.bibliographicCitation.startpage431
local.contributor.affiliationBuchmann, Boris, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationKlueppelberg, Claudia C, Munich University of Technology
local.contributor.authoruidBuchmann, Boris, u4164354
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor010406 - Stochastic Analysis and Modelling
local.identifier.ariespublicationu3488905xPUB32
local.identifier.citationvolume12
local.identifier.doi10.3150/bj/1151525129
local.identifier.scopusID2-s2.0-33846108890
local.type.statusPublished Version

Downloads

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
01_Buchmann_Fractional_Integral_Equations_2006.pdf
Size:
270.99 KB
Format:
Adobe Portable Document Format
Download

Collections

ANU Research Publications

DSpace software copyright © 2002-2026 LYRASIS

abcd