Gaussian and Hermite Ornstein-Uhlenbeck processes
Abstract
In the present paper we study the asymptotic behavior of the auto-covariance function for Ornstein-Uhlenbeck (OU) processes driven by Gaussian noises with stationary and non-stationary increments and for Hermite OU processes. Our results are generalizations of the corresponding results of Cheridito et al. \cite{CKM} and Kaarakka and Salminen \cite{KS}.
- Publication:
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arXiv e-prints
- Pub Date:
- June 2021
- DOI:
- 10.48550/arXiv.2106.12311
- arXiv:
- arXiv:2106.12311
- Bibcode:
- 2021arXiv210612311E
- Keywords:
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- Mathematics - Probability;
- Mathematics - Statistics Theory