Generalized Wiener–Hermite integrals and rough non-Gaussian Ornstein–Uhlenbeck process

IF 1.1 2区经济学 Q3 BUSINESS, FINANCE

Finance and Stochastics Pub Date : 2022-04-30 DOI:10.1080/17442508.2022.2068955

Obayda Assaad, Charles-Philippe Diez, C. Tudor

引用次数: 2

Abstract

We discuss several properties of the generalized Hermite process, which is a non-Gaussian self-similar processes with self-similarity index belonging to the whole interval . We also define Wiener integral with respect to this process and as an application, we define and study its associated Ornstein–Uhlenbeck process.

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广义Wiener-Hermite积分与粗糙非高斯Ornstein-Uhlenbeck过程

讨论了广义Hermite过程的几个性质，它是一类自相似指标属于全区间的非高斯自相似过程。我们还定义了关于这个过程的Wiener积分，作为应用，我们定义并研究了与之相关的Ornstein-Uhlenbeck过程。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance and Stochastics 管理科学-数学跨学科应用

CiteScore

2.90

自引率

5.90%

发文量

审稿时长

>12 weeks

期刊介绍： The purpose of Finance and Stochastics is to provide a high standard publication forum for research - in all areas of finance based on stochastic methods - on specific topics in mathematics (in particular probability theory, statistics and stochastic analysis) motivated by the analysis of problems in finance. Finance and Stochastics encompasses - but is not limited to - the following fields: - theory and analysis of financial markets - continuous time finance - derivatives research - insurance in relation to finance - portfolio selection - credit and market risks - term structure models - statistical and empirical financial studies based on advanced stochastic methods - numerical and stochastic solution techniques for problems in finance - intertemporal economics, uncertainty and information in relation to finance.