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Document type:
Buchbeitrag 
Author(s):
Maller, R. A., Müller, G., Szimayer, A. 
Artist:
Andersen, T. G., Davis, R. A., Kreiß, J.-P., Mikosch, Th. (Eds.) 
Title:
Ornstein-Uhlenbeck Processes and Extensions. 
Pages contribution:
421-437 
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...    »
 
Book title:
Andersen, T. G., Davis, R. A., Kreiß, J.-P., Mikosch, Th.: Handbook of Financial Time Series. 
Publisher:
Springer 
Publisher address:
Berlin 
Year:
2009 
Reviewed:
ja 
Language:
en 
Semester:
SS 09 
Format:
Text