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Dokumenttyp:
Buchbeitrag 
Autor(en):
Maller, R. A., Müller, G., Szimayer, A. 
Künstler (Werkautoren):
Andersen, T. G., Davis, R. A., Kreiß, J.-P., Mikosch, Th. (Eds.) 
Titel:
Ornstein-Uhlenbeck Processes and Extensions. 
Abstract:
This paper surveys a class of Generalised Ornstein-Uhlenbeck (GOU) processes associated with Lévy processes, which has been recently much analysed in view of its applications in the financial modelling area, among others. We motivate the Lévy GOU by reviewing the framework already well understood for the “ordinary” (Gaussian) Ornstein-Uhlenbeck process, driven by Brownian motion; thus, defining it in terms of a stochastic differential equation (SDE), as the solution of this SDE, or...    »
 
Seitenangaben Beitrag:
421-437 
Buchtitel:
Andersen, T. G., Davis, R. A., Kreiß, J.-P., Mikosch, Th.: Handbook of Financial Time Series. 
Verlag / Institution:
Springer 
Verlagsort:
Berlin 
Jahr:
2009 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 09 
Format:
Text