FRACTIONAL ORNSTEIN–UHLENBECK PROCESSES MIXED WITH A GAMMA DISTRIBUTION-Reference-Cited by-同舟云学术

FRACTIONAL ORNSTEIN–UHLENBECK PROCESSES MIXED WITH A GAMMA DISTRIBUTION

Published:2015-07-31 Issue:03 Volume:23 Page:1550032
ISSN:0218-348X
Container-title:Fractals
language:en
Short-container-title:Fractals

Author:

ES-SEBAIY KHALIFA¹,TUDOR CIPRIAN A.²³

Affiliation:

1. National School of Applied Sciences-Marrakesh, Cadi Ayyad University, Marrakesh, Morocco

2. Laboratoire Paul Painlevé, Université de Lille 1, F-59655 Villeneuve d'Ascq, France

3. Department of Mathematics, Academy of Economical Studies, Bucharest, Romania

Abstract

We study the asymptotic behavior of the aggregated fractional Ornstein–Uhlenbeck processes with random coefficients that follows a Gamma-type distribution. We also analyze the properties of the limit process.

Publisher

World Scientific Pub Co Pte Lt

Subject

Applied Mathematics,Geometry and Topology,Modeling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0218348X15500322

Reference7 articles.

1. Long-range Dependence trough Gamma-mixed Ornstein-Uhlenbeck Process

2. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics

3. Integration questions related to fractional Brownian motion

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