Fractional iterated Ornstein-Uhlenbeck Processes
We present a Gaussian process that arises from the iteration of p fractional Ornstein–Uhlenbeck processes generated by the same fractional Brownian motion. When the values of the parameters defining the iteration are pairwise distinct, this iteration results in a particular linear combination of tho...
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| Format: | article |
| Idioma: | anglès |
| Publicat: |
2019
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| Accés en línia: | https://hdl.handle.net/20.500.12008/28486 |
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