高斯和hermite Ornstein-Uhlenbeck过程

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastic Analysis and Applications Pub Date : 2021-06-23 DOI:10.1080/07362994.2021.2022495

Khalifa Es-Sebaiy

引用次数: 1

摘要

摘要在本文中，我们研究了具有平稳和非平稳增量的高斯噪声驱动的Ornstein–Uhlenbeck（OU）过程和Hermite OU过程的自协方差函数的渐近行为。我们的结果是Cheridito等人以及Kaarakka和Salminen的相应结果的推广。

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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Gaussian and hermite Ornstein–Uhlenbeck processes

Abstract In the present paper we study the asymptotic behavior of the auto-covariance function for Ornstein–Uhlenbeck (OU) processes driven by Gaussian noises with stationary and non-stationary increments and for Hermite OU processes. Our results are generalizations of the corresponding results of Cheridito et al. and Kaarakka and Salminen.

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来源期刊

Stochastic Analysis and Applications 数学-统计学与概率论

CiteScore

2.70

自引率

7.70%

发文量

审稿时长

6-12 weeks

期刊介绍： Stochastic Analysis and Applications presents the latest innovations in the field of stochastic theory and its practical applications, as well as the full range of related approaches to analyzing systems under random excitation. In addition, it is the only publication that offers the broad, detailed coverage necessary for the interfield and intrafield fertilization of new concepts and ideas, providing the scientific community with a unique and highly useful service.