Fractional Ornstein-Uhlenbeck processes. Joseph effect in models with infinite variance

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 1, 2008, Pages 123-133

  Magdziarz, Marcin ^a  

^a WROCLAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

Stable distribution; Joseph effect; Long range dependence; Noah effect; Ornstein Uhlenbeck process

Indexed keywords

ASYMPTOTIC ANALYSIS; MATHEMATICAL MODELS; RANDOM PROCESSES;

JOSEPH EFFECT; LONG RANGE DEPENDENCE; NOAH EFFECT; ORNSTEIN-UHLENBECK PROCESS; STABLE DISTRIBUTION;

STATISTICAL MECHANICS;

EID: 35748957472     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.08.016     Document Type: Article

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