Multi-mixed fractional Brownian motions and Ornstein–Uhlenbeck processes

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annif.suggestionsstochastic processes|mathematics|probability calculation|fractions|time-series analysis|time series|differential equations|glaciers|analysis|Gaussian processes|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p11400|http://www.yso.fi/onto/yso/p3160|http://www.yso.fi/onto/yso/p4746|http://www.yso.fi/onto/yso/p19541|http://www.yso.fi/onto/yso/p22747|http://www.yso.fi/onto/yso/p12290|http://www.yso.fi/onto/yso/p3552|http://www.yso.fi/onto/yso/p3787|http://www.yso.fi/onto/yso/p6851|http://www.yso.fi/onto/yso/p38750en
dc.contributor.authorMaleki Almani, Hamidreza
dc.contributor.authorSottinen, Tommi
dc.contributor.departmentfi=Ei tutkimusalustaa|en=No platform|-
dc.contributor.facultyfi=Tekniikan ja innovaatiojohtamisen yksikkö|en=School of Technology and Innovations|-
dc.contributor.orcidhttps://orcid.org/0000-0002-3071-4982-
dc.contributor.orcidhttps://orcid.org/0000-0002-9983-9708-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2023-10-20T11:25:01Z
dc.date.accessioned2025-06-25T13:03:56Z
dc.date.available2023-10-20T11:25:01Z
dc.date.issued2023-06-26
dc.description.abstractThe 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.-
dc.description.notification© 2023 The Author(s). Published by VTeX. Open access article under the CC BY license.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent24-
dc.format.pagerange343–366-
dc.identifier.olddbid19170
dc.identifier.oldhandle10024/16355
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/1433
dc.identifier.urnURN:NBN:fi-fe20231020140802-
dc.language.isoeng-
dc.publisherVTeX-
dc.relation.doi10.15559/23-VMSTA229-
dc.relation.ispartofjournalModern Stochastics: Theory and Applications-
dc.relation.issn2351-6054-
dc.relation.issn2351-6046-
dc.relation.issue4-
dc.relation.urlhttps://doi.org/10.15559/23-VMSTA229-
dc.relation.volume10-
dc.rightsCC BY 4.0-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/16355
dc.subjectFractional Brownian motion-
dc.subjectlong-range dependence-
dc.subjectmulti-mixed fractional Brownian motion-
dc.subjectmulti-mixed fractional Ornstein–Uhlenbeck process-
dc.subjectshort-range dependence-
dc.subjectstationary-increment processes-
dc.subjectstationary processes-
dc.subject.disciplinefi=Matematiikka|en=Mathematics|-
dc.subject.ysoGaussian processes-
dc.titleMulti-mixed fractional Brownian motions and Ornstein–Uhlenbeck processes-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

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