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Long-Memory Stable Ornstein-Uhlenbeck Processes

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Long-Memory Stable Ornstein-Uhlenbeck Processes
2.	Creator	Author's name, affiliation, country	Makoto Maejima; Department of Mathematics, Keio University
2.	Creator	Author's name, affiliation, country	Kenji Yamamoto; Department of Mathematics, Keio University
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)
4.	Description	Abstract	The solution of the Langevin equation driven by a Lévy process noise has been well studied, under the name of Ornstein-Uhlenbeck type process. It is a stationary Markov process. When the noise is fractional Brownian motion, the covariance of the stationary solution process has been studied by the first author with different coauthors. In the present paper, we consider the Langevin equation driven by a linear fractional stable motion noise, which is a selfsimilar process with long-range dependence but does not have finite variance, and we investigate the dependence structure of the solution process.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2003-11-20
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/168
10.	Identifier	Digital Object Identifier	10.1214/EJP.v8-168
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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