Long-Memory Stable Ornstein-Uhlenbeck Processes
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説明
The solution of the Langevin equation driven by a Levy process noise has been well studied, under the name of Ornstein-Uhlenbeck type process. It is a stationary Markov process. When the noise is fractional Brownian motion, the covariance of the stationary solution process has been studied by the first author with different coauthors. In the present paper, we consider the Langevin equation driven by a linear fractional stable motion noise, which is a selfsimilar process with long-range dependence but does not have finite variance, and we investigate the dependence structure of the solution process.
収録刊行物
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- Electronic Journal of Probability
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Electronic Journal of Probability 8 2003-01-01
Institute of Mathematical Statistics
