کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7549967 1489920 2018 36 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Volterra-type Ornstein-Uhlenbeck processes in space and time
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Volterra-type Ornstein-Uhlenbeck processes in space and time
چکیده انگلیسی
We propose a novel class of temporo-spatial Ornstein-Uhlenbeck processes as solutions to Lévy-driven Volterra equations with additive noise and multiplicative drift. After formulating conditions for the existence and uniqueness of solutions, we derive an explicit solution formula and discuss distributional properties such as stationarity, second-order structure and short versus long memory. Furthermore, we analyze in detail the path properties of the solution process. In particular, we introduce different notions of càdlàg paths in space and time and establish conditions for the existence of versions with these regularity properties. The theoretical results are accompanied by illustrative examples.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 128, Issue 9, September 2018, Pages 3082-3117
نویسندگان
, ,