| Título: | On the Exponentials of Fractional Ornstein-Uhlenbeck Processes |
| Autores: |
Matsui, Muneya; Department of Mathematics, Keio University Shieh, Narn-Rueih; Department of Mathematics, National Taiwan University |
| Fecha: | 2009-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Long memory (Long range dependence), Fractional Brownian motion, Fractional Ornstein-Uhlenbeck process, Exponential process, Burkholder-Davis-Gundy inequalities. Primary 60G17, 60G15; Secondly 62M10, 60G10. |
| Descripción: | 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. |
| Idioma: | No aplica |
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