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Titel:

Volterra-type Ornstein-Uhlenbeck processes in space and time.

Dokumenttyp:
Zeitungsartikel
Autor(en):
Pham, V.S. and Chong, C.
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:
9
Seitenangaben Beitrag:
3082-3117
Sprache:
en
Volltext / DOI:
doi:10.1016/j.spa.2017.10.012
WWW:
Stochastic Processes and their Applications
Verlag / Institution:
Elsevier
Status:
Erstveröffentlichung
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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