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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 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...    »
 
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 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Stochastic Processes and their Applications 
Jahr:
2018 
Band / Volume:
128 
Jahr / Monat:
2018-09 
Quartal:
3. Quartal 
Monat:
Sep 
Heft / Issue:
Seitenangaben Beitrag:
3082-3117 
Sprache:
en 
Verlag / Institution:
Elsevier 
Status:
Erstveröffentlichung 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text