Levy Integrals and the Stationarity of  generalised Ornstein-Uhlenbeck processes

Levy Integrals and the Stationarity of generalised Ornstein-Uhlenbeck processes

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by Alexander Lindner , Ross Maller

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20 - 9 self

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@MISC{Lindner_levyintegrals,
    author = {Alexander Lindner and Ross Maller},
    title = {Levy Integrals and the Stationarity of generalised Ornstein-Uhlenbeck processes},
    year = {}
}

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Abstract

The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process (ξt, ηt)t≥0 is defined as Vt = e −ξt ( ∫ t

Citations

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