{"title":"高斯和hermite Ornstein-Uhlenbeck过程","authors":"Khalifa Es-Sebaiy","doi":"10.1080/07362994.2021.2022495","DOIUrl":null,"url":null,"abstract":"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. and Kaarakka and Salminen.","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":"41 1","pages":"394 - 423"},"PeriodicalIF":0.8000,"publicationDate":"2021-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Gaussian and hermite Ornstein–Uhlenbeck processes\",\"authors\":\"Khalifa Es-Sebaiy\",\"doi\":\"10.1080/07362994.2021.2022495\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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. and Kaarakka and Salminen.\",\"PeriodicalId\":49474,\"journal\":{\"name\":\"Stochastic Analysis and Applications\",\"volume\":\"41 1\",\"pages\":\"394 - 423\"},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2021-06-23\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Stochastic Analysis and Applications\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1080/07362994.2021.2022495\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"MATHEMATICS, APPLIED\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Stochastic Analysis and Applications","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/07362994.2021.2022495","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
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. and Kaarakka and Salminen.
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Stochastic Analysis and Applications presents the latest innovations in the field of stochastic theory and its practical applications, as well as the full range of related approaches to analyzing systems under random excitation. In addition, it is the only publication that offers the broad, detailed coverage necessary for the interfield and intrafield fertilization of new concepts and ideas, providing the scientific community with a unique and highly useful service.
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