Article ID Journal Published Year Pages File Type
1154281 Statistics & Probability Letters 2016 7 Pages PDF
Abstract

We derive the characteristic function (CF) of integrals of Lévy-driven Ornstein–Uhlenbeck processes with time-inhomogeneous coefficients. The resulting expression takes the form of the exponential integral of the time-changed characteristic exponent. This result is applied to some examples leading to closed form expressions. In particular, it drastically simplifies the calculations of the CF of integrated Compound Poisson processes compared to the standard approach relying on joint conditioning on inter-arrival jump times.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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