WEYL MULTIFRACTIONAL ORNSTEIN-UHLENBECK PROCESSES MIXED WITH A GAMMA DISTRIBUTION

被引：1

作者：

Es-Sebaiy, Khalifa ^{[1
]}

Farah, Fatima-Ezzahra ^{[2
]}

Hilbert, Astrid ^{[3
]}

机构：

[1] Kuwait Univ, Fac Sci, Dept Math, POB 5969, Kuwait 13060, Kuwait

[2] Marrakesh Cadi Ayyad Univ, Natl Sch Appl Sci, Dept Math, BP Gueliz Blvd Abdelkr Al Khattabi, Marrakech, Morocco

[3] Linnaeus Univ, Fac Technol, Dept Math, PG Vejdes Vag, S-35195 Vaxjo, Sweden

来源：

PROBABILITY AND MATHEMATICAL STATISTICS-POLAND | 2020年 / 40卷 / 02期

关键词：

Weyl multifractional Ornstein-Uhlenbeck process; Gamma distribution; aggregated process; multifractional Brownian motion; RIEMANN-LIOUVILLE;

D O I：

10.37190/0208-4147.40.2.5

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The aim of this paper is to study the asymptotic behavior of aggregated Weyl multifractional Ornstein-Uhlenbeck processes mixed with Gamma random variables. This allows us to introduce a new class of processes, Gamma-mixed Weyl multifractional Ornstein-Uhlenbeck processes (GWmOU), and study their elementary properties such as Hausdorff dimension, local self-similarity and short-range dependence. We also prove that these processes approach the multifractional Brownian motion.

引用

页码：269 / 295

页数：27

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