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Fractional Ornstein-Uhlenbeck processes

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Fractional Ornstein-Uhlenbeck processes
2.	Creator	Author's name, affiliation, country	Patrick Cheridito; ETH Zurich
2.	Creator	Author's name, affiliation, country	Hideyuki Kawaguchi; Keio University and Sumitomo Mitsui Banking Corporation
2.	Creator	Author's name, affiliation, country	Makoto Maejima; Keio University
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	Fractional Brownian motion, Langevin equation,Long-range dependence, Selfsimilar processes, Lampertitransformation
3.	Subject	Subject classification	primary: 60H10; secondary: 60G15, 60G18, 45F05
4.	Description	Abstract	The classical stationary Ornstein-Uhlenbeck process can be obtained in two different ways. On the one hand, it is a stationary solution of the Langevin equation with Brownian motion noise. On the other hand, it can be obtained from Brownian motion by the so called Lamperti transformation. We show that the Langevin equation with fractional Brownian motion noise also has a stationary solution and that the decay of its auto-covariance function is like that of a power function. Contrary to that, the stationary process obtained from fractional Brownian motion by the Lamperti transformation has an auto-covariance function that decays exponentially.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2003-02-15
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/125
10.	Identifier	Digital Object Identifier	10.1214/EJP.v8-125
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 8
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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