Indexing metadata

On the Exponentials of Fractional Ornstein-Uhlenbeck Processes


 
Dublin Core PKP Metadata Items Metadata for this Document
 
1. Title Title of document On the Exponentials of Fractional Ornstein-Uhlenbeck Processes
 
2. Creator Author's name, affiliation, country Muneya Matsui; Department of Mathematics, Keio University
 
2. Creator Author's name, affiliation, country Narn-Rueih Shieh; Department of Mathematics, National Taiwan University
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Long memory (Long range dependence), Fractional Brownian motion, Fractional Ornstein-Uhlenbeck process, Exponential process, Burkholder-Davis-Gundy inequalities.
 
3. Subject Subject classification Primary 60G17, 60G15; Secondly 62M10, 60G10.
 
4. Description Abstract We study the correlation decay and the expected maximal increment (Burkholder-Davis-Gundy type inequalities) of the exponential process determined by a fractional Ornstein-Uhlenbeck process. The method is to apply integration by parts formula on integral representations of fractional Ornstein-Uhlenbeck processes, and also to use Slepian's inequality. As an application, we attempt Kahane's T-martingale theory based on our exponential process which is shown to be of long memory.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) JSPS Reserch Fellowships for Young Scientists, Taiwan NSC grant 962115M002005MY3
 
7. Date (YYYY-MM-DD) 2009-02-27
 
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/628
 
10. Identifier Digital Object Identifier 10.1214/EJP.v14-628
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 14
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
15. Rights Copyright and permissions The Electronic Journal of Probability applies the Creative Commons Attribution License (CCAL) to all articles we publish in this journal. Under the CCAL, authors retain ownership of the copyright for their article, but authors allow anyone to download, reuse, reprint, modify, distribute, and/or copy articles published in EJP, so long as the original authors and source are credited. This broad license was developed to facilitate open access to, and free use of, original works of all types. Applying this standard license to your work will ensure your right to make your work freely and openly available.

Summary of the Creative Commons Attribution License

You are free
  • to copy, distribute, display, and perform the work
  • to make derivative works
  • to make commercial use of the work
under the following condition of Attribution: others must attribute the work if displayed on the web or stored in any electronic archive by making a link back to the website of EJP via its Digital Object Identifier (DOI), or if published in other media by acknowledging prior publication in this Journal with a precise citation including the DOI. For any further reuse or distribution, the same terms apply. Any of these conditions can be waived by permission of the Corresponding Author.