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Generalized Wiener–Hermite integrals and rough non-Gaussian Ornstein–Uhlenbeck process
Stochastics ( IF 0.9 ) Pub Date : 2022-04-30 , DOI: 10.1080/17442508.2022.2068955
Obayda Assaad 1 , Charles-Phillipe Diez 1 , Ciprian A. Tudor 1
Affiliation  

We discuss several properties of the generalized Hermite process, which is a non-Gaussian self-similar processes with self-similarity index belonging to the whole interval (0,1). We also define Wiener integral with respect to this process and as an application, we define and study its associated Ornstein–Uhlenbeck process.



中文翻译:

广义 Wiener–Hermite 积分和粗糙的非高斯 Ornstein–Uhlenbeck 过程

我们讨论了广义 Hermite 过程的几个性质,它是一个非高斯自相似过程,自相似指数属于整个区间(0,1个). 我们还针对此过程定义了 Wiener 积分,作为一个应用,我们定义并研究了其相关的 Ornstein-Uhlenbeck 过程。

更新日期:2022-04-30
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