Gamma mixed fractional Lévy Ornstein–Uhlenbeck process
Copyright policy )Gamma mixed fractional Lévy Ornstein–Uhlenbeck process
In this article, a non-Gaussian long memory process is constructed by the aggregation of independent copies of a fractional Lévy Ornstein–Uhlenbeck process with random coefficients. Several properties and a limit theorem are studied for this new process. Finally, some simulations of the limit process are shown.
T57-57.97, Applied mathematics. Quantitative methods, fractional Lévy process, Stochastic integrals, Probability (math.PR), Applications of stochastic analysis (to PDEs, etc.), random coefficients, Ornstein–Uhlenbeck process, Fractional Lévy process, Stationary stochastic processes, QA1-939, FOS: Mathematics, non-Gaussian process, Sample path properties, Ornstein-Uhlenbeck process, Mathematics, Mathematics - Probability
T57-57.97, Applied mathematics. Quantitative methods, fractional Lévy process, Stochastic integrals, Probability (math.PR), Applications of stochastic analysis (to PDEs, etc.), random coefficients, Ornstein–Uhlenbeck process, Fractional Lévy process, Stationary stochastic processes, QA1-939, FOS: Mathematics, non-Gaussian process, Sample path properties, Ornstein-Uhlenbeck process, Mathematics, Mathematics - Probability
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