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Title:

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

Document type:
Zeitungsartikel
Author(s):
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...     »
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:
9
Pages contribution:
3082-3117
Language:
en
Fulltext / DOI:
doi:10.1016/j.spa.2017.10.012
WWW:
Stochastic Processes and their Applications
Publisher:
Elsevier
Status:
Erstveröffentlichung
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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