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Levy integrals and the Stationary of generalised ornstein-Uhlenbeck processes

Date

Authors

Lindner, Alexander

Maller, Ross

Publisher

Elsevier

Abstract

The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process (ξt, ηt) t≥0 is defined as Vt = e-ξt (∫0t eξs- dηns + V0), t ≥ 0, where V0 is an independent starting random variable. The stationarity of the process is clos

Keywords

Keywords: Functions; Integration; Autocovariance function; Generalised Ornstein-Uhlenbeck processes; Heavy-tailed behavior; Lvy process; Stochastic integral; Random processes Autocovariance function; Generalised Ornstein-Uhlenbeck process; Heavy-tailed behaviour; Lvy integral; Stochastic integral; Strict stationarity

URI

http://hdl.handle.net/1885/83573

Collections

ANU Research Publications

Source

Stochastic Processes and their Applications

Type

Journal article

DOI

10.1016/j.spa.2005.05.004

Restricted until

2037-12-31

Downloads

File

Description

01_Lindner_Levy_integrals_and_the_2005.pdf (342.01 KB)

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