Integral Representation of Generalized Grey Brownian Motion
Probability
2019-07-09 v2 Functional Analysis
Abstract
In this paper we investigate the representation of a class of non Gaussian processes, namely generalized grey Brownian motion, in terms of a weighted integral of a stochastic process which is a solution of a certain stochastic differential equation. In particular the underlying process can be seen as a non Gaussian extension of the Ornstein-Uhlenbeck process, hence generalizing the representation results of Muravlev as well as Harms and Stefanovits to the non Gaussian case.
Keywords
Cite
@article{arxiv.1812.03864,
title = {Integral Representation of Generalized Grey Brownian Motion},
author = {Wolfgang Bock and Sascha Desmettre and José Luís da Silva},
journal= {arXiv preprint arXiv:1812.03864},
year = {2019}
}
Comments
arXiv admin note: text overlap with arXiv:1708.06784, arXiv:1807.07867