Gamma mixed fractional Lévy Ornstein-Uhlenbeck process

被引：0

作者：

Araya, Hector ^{[1
]}

Garzon, Johanna ^{[2
]}

Rubilar-Torrealba, Rolando ^{[3
]}

机构：

[1] Univ Adolfo Ibanez, Fac Ingn & Ciencias, Ave Padre Hurtado 750, Vina Del Mar, Valparaiso, Chile

[2] Univ Nacl Colombia, Fac Ciencias, Dept Matemat, Carrera 45 26-85, Bogota, Colombia

[3] Univ La Frontera, Fac Ciencias Jurid & Empresariales, Dept Adm & Econ, Avenida Francisco Salazar 01145, Temuco, Chile

来源：

MODERN STOCHASTICS-THEORY AND APPLICATIONS | 2024年 / 11卷 / 01期

关键词：

Fractional Levy process; Ornstein-Uhlenbeck process; non-Gaussian process; random coefficients; LEVY PROCESSES; MOTION; MODELS;

D O I：

10.15559/23-VMSTA237

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, a non-Gaussian long memory process is constructed by the aggregation of independent copies of a fractional Levy Ornstein-Uhlenbeck process with random coefficients. Several properties and a limit theorem are studied for this new process. Finally, some simulations of the limit process are shown.

引用

页码：63 / 83

页数：21

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