Multi-mixed fractional Brownian motions and Ornstein–Uhlenbeck processes
Maleki Almani, Hamidreza; Sottinen, Tommi (2023-06-26)
VTeX
26.06.2023
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe20231020140802
https://urn.fi/URN:NBN:fi-fe20231020140802
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vertaisarvioitu
© 2023 The Author(s). Published by VTeX. Open access article under the CC BY license.
© 2023 The Author(s). Published by VTeX. Open access article under the CC BY license.
Tiivistelmä
The so-called multi-mixed fractional Brownian motions (mmfBm) and multi-mixed fractional Ornstein–Uhlenbeck (mmfOU) processes are studied. These processes are constructed by mixing by superimposing or mixing (infinitely many) independent fractional Brownian motions (fBm) and fractional Ornstein–Uhlenbeck processes (fOU), respectively. Their existence as L2
processes is proved, and their path properties, viz. long-range and short-range dependence, Hölder continuity, p-variation, and conditional full support, are studied.
processes is proved, and their path properties, viz. long-range and short-range dependence, Hölder continuity, p-variation, and conditional full support, are studied.
Kokoelmat
- Artikkelit [3007]