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

Producción científica: Contribución a una revista › Artículo › revisión exhaustiva

1 Cita (Scopus)

Resumen

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.

Idioma original	Inglés
Páginas (desde-hasta)	63-83
Número de páginas	21
Publicación	Modern Stochastics: Theory and Applications
Volumen	11
N.º	1
DOI	https://doi.org/10.15559/23-VMSTA237
Estado	Publicada - ene. 2024
Publicado de forma externa	Sí

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title = "Gamma mixed fractional L{\'e}vy Ornstein–Uhlenbeck process",

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.",

keywords = "Fractional L{\'e}vy process, Ornstein–Uhlenbeck process, non-Gaussian process, random coefficients",

author = "H{\'e}ctor Araya and Johanna Garz{\'o}n and Rolando Rubilar-Torrealba",

note = "Publisher Copyright: {\textcopyright} 2024 The Author(s).",

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doi = "10.15559/23-VMSTA237",

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AU - Garzón, Johanna

AU - Rubilar-Torrealba, Rolando

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N2 - 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.

AB - 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.

KW - Fractional Lévy process

KW - Ornstein–Uhlenbeck process

KW - non-Gaussian process

KW - random coefficients

UR - https://www.scopus.com/pages/publications/85182830257

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DO - 10.15559/23-VMSTA237

M3 - Article

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Gamma mixed fractional Lévy Ornstein–Uhlenbeck process

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