Gaussian and hermite Ornstein–Uhlenbeck processes
نویسندگان
چکیده
In the present paper we study asymptotic behavior of auto-covariance function for Ornstein–Uhlenbeck (OU) processes driven by Gaussian noises with stationary and non-stationary increments Hermite OU processes. Our results are generalizations corresponding Cheridito et al. Kaarakka Salminen.
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2022
ISSN: ['1532-9356', '0736-2994']
DOI: https://doi.org/10.1080/07362994.2021.2022495