Ornstein - Uhlenbeck Process Driven By $$\alpha$$-stable Process and Its Gamma Subordination
Author:
Funder
National Center of Science of Poland
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11009-023-09999-w.pdf
Reference48 articles.
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2. Barndorff-Nielsen OE, Shephard N (2001) Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. J R Stat Soc Series B Stat Methodol 63(2):167–241. http://www.jstor.org/stable/2680596
3. Bochner S (1955) Harmonic Analysis and the Theory of Probability. University of California Press, Berkeley. https://doi.org/10.1525/9780520345294, https://www.degruyter.com/california/view/title/593926
4. Borak S, Misiorek A, Weron R (2011) Models for heavy-tailed asset returns, Springer Berlin Heidelberg, Berlin, Heidelberg, pp 21–55. https://doi.org/10.1007/978-3-642-18062-0
5. Brockwell PJ (2001) Lévy-driven carma processes. Ann Inst Stat Math 53(1):113–124. https://doi.org/10.1023/a:1017972605872
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