Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes

Stochastic Processes and their Applications

Volumn 115, Issue 10, 2005, Pages 1701-1722

  Lindner, Alexander ^a   Maller, Ross ^b  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Autocovariance function; Generalised Ornstein Uhlenbeck process; Heavy tailed behaviour; L vy integral; Stochastic integral; Strict stationarity

Indexed keywords

FUNCTIONS; INTEGRATION;

AUTOCOVARIANCE FUNCTION; GENERALISED ORNSTEIN-UHLENBECK PROCESSES; HEAVY-TAILED BEHAVIOR; LÉVY PROCESS; STOCHASTIC INTEGRAL;

RANDOM PROCESSES;

EID: 24144492993     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2005.05.004     Document Type: Article

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