Fractional iterated Ornstein-Uhlenbeck Processes

Kalemkerian, J; Leon, JR

Kalemkerian, J (reprint author), Univ Republica, Fac Ciencias, Montevideo, Uruguay.

ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS, 2019; 16 (2): 1105

Abstract

We present a Gaussian process that arises from the iteration of p fractional Ornstein-Uhlenbeck processes generated by the same fractional Brownian mo......

Full Text Link