Gaussian and Hermite Ornstein-Uhlenbeck processes
Probability
2022-01-19 v2 Statistics Theory
Statistics Theory
Abstract
In the present paper we study the asymptotic behavior of the auto-covariance function for Ornstein-Uhlenbeck (OU) processes driven by Gaussian noises with stationary and non-stationary increments and for Hermite OU processes. Our results are generalizations of the corresponding results of Cheridito et al. \cite{CKM} and Kaarakka and Salminen \cite{KS}.
Keywords
Cite
@article{arxiv.2106.12311,
title = {Gaussian and Hermite Ornstein-Uhlenbeck processes},
author = {Khalifa Es-Sebaiy},
journal= {arXiv preprint arXiv:2106.12311},
year = {2022}
}