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Dokumenttyp:
Zeitungsartikel 
Autor(en):
Pham, V.S. and Chong, C. 
Titel:
Volterra-type Ornstein-Uhlenbeck processes in space and time 
Abstract:
We propose a novel class of tempo-spatial Ornstein-Uhlenbeck processes as solutions to Lévy-driven Volterra equations with additive noise and multiplicative drift. After formulating conditions for the existence and uniqueness of solutions, we derive an explicit solution formula and discuss distributional properties such as stationarity, second-order structure and short versus long memory. Furthermore, we analyze in detail the path properties of the solution process. In particular, we introduce d...    »
 
Stichworte:
ambit process, càdlàg in space and time, Lévy basis, long memory, path properties, second-order structure, space–time modeling, stationary solution, stochastic Volterra equation, Volterra-type Ornstein-Uhlenbeck process 
Zeitschriftentitel:
Stochastic Processes and their Applications 
Jahr:
2017 
Jahr / Monat:
2017-11 
Reviewed:
ja 
Sprache:
en 
WWW:
Status:
Postprint / reviewed 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text