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- Titel:
Fractional integral equations and state space transforms
- Dokumenttyp:
- Zeitschriftenaufsatz
- Autor(en):
- Buchmann, B. and Klüppelberg, C.
- Abstract:
- We introduce a class of stochastic differential equations driven by fractional Brownian motion (FBM), which allow for a constructive method in order to obtain stationary solutions. This leads to a substantial extention of fractional Ornstein-Uhlenbeck processes. Structural properties of this class of new models are investigated. Their stationary densities are given explicitly.
- Stichworte:
- Fractional Brownian motion, fractional integral, fractional Ornstein- Uhlenbeck process, fractional Vasicek model, Langevin equation, long range dependence, Riemann-Stieltjes integrals, state space transform, stochastic calculus, solution of SDE
- Zeitschriftentitel:
- Bernoulli
- Jahr:
- 2006
- Band / Volume:
- 12
- Heft / Issue:
- 3
- Seitenangaben Beitrag:
- 431-456
- Reviewed:
- ja
- Sprache:
- en
- WWW:
- https://projecteuclid.org/euclid.bj/1151525129
- Status:
- Verlagsversion / published
- Semester:
- SS 06
- Format:
- Text
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