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- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Buchmann, B. and Klüppelberg, C.
- Title:
- Fractional integral equations and state space transforms
- 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.
- Keywords:
- 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
- Journal title:
- Bernoulli
- Year:
- 2006
- Journal volume:
- 12
- Journal issue:
- 3
- Pages contribution:
- 431-456
- Reviewed:
- ja
- Language:
- en
- WWW:
- https://projecteuclid.org/euclid.bj/1151525129
- Status:
- Verlagsversion / published
- Semester:
- SS 06
- Format:
- Text
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