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Document type:
Zeitungsartikel 
Author(s):
Pham, V.S. and Chong, C. 
Title:
Volterra-type Ornstein-Uhlenbeck processes in space and time. 
Abstract:
We propose a novel class of temporo-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 introduc...    »
 
Keywords:
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 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Stochastic Processes and their Applications 
Year:
2018 
Journal volume:
128 
Year / month:
2018-09 
Quarter:
3. Quartal 
Month:
Sep 
Journal issue:
Pages contribution:
3082-3117 
Language:
en 
Publisher:
Elsevier 
Status:
Erstveröffentlichung 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text