Gamma mixed fractional Lévy Ornstein–Uhlenbeck process

Héctor Araya; Johanna Garzón; Rolando Rubilar-Torrealba

doi:10.15559/23-VMSTA237

Gamma mixed fractional Lévy Ornstein–Uhlenbeck process

Héctor Araya, Johanna Garzón, Rolando Rubilar-Torrealba

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	63-83
Number of pages	21
Journal	Modern Stochastics: Theory and Applications
Volume	11
Issue number	1
DOIs	https://doi.org/10.15559/23-VMSTA237
State	Published - Jan 2024
Externally published	Yes

Keywords

Fractional Lévy process
Ornstein–Uhlenbeck process
non-Gaussian process
random coefficients

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10.15559/23-VMSTA237

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abstract = "In this article, a non-Gaussian long memory process is constructed by the aggregation of independent copies of a fractional L{\'e}vy 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.",

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KW - random coefficients

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Gamma mixed fractional Lévy Ornstein–Uhlenbeck process

Abstract

Keywords

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