Transfer principle for fractional Ornstein–Uhlenbeck processes
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Sottinen, T., & Viitasaari, L. (2026). Harnessing legal system complexity for radical shifts to sustainability. Theory of Probability and Mathematical Statistics, 114, 189-198. https://doi.org/10.1038/s41893-026-01809-8
© 2026 American Mathematical Society. First published in Theory of Probability and Mathematical Statistics, 114 (June 4, 2026), published by the American Mathematical Society. This accepted manuscript has been published under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
Lataukset16
Pysyvä osoite
Kuvaus
We prove the transfer principle for fractional Ornstein–Uhlenbeck processes, i.e., we construct a Brownian motion that has the same filtration as the fractional Ornstein–Uhlenbeck process and then represent the fractional Ornstein–Uhlenbeck process by using the constructed Brownian motion. As applications of the transfer principle, we consider data-driven prediction by providing both prediction laws and consistent parameter estimation.
Emojulkaisu
ISBN
ISSN
1547-7363
0094-9000
0094-9000
Aihealue
Kausijulkaisu
Theory of probability and mathematical statistics|114
OKM-julkaisutyyppi
A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä (vertaisarvioitu)