A class of fractional Ornstein–Uhlenbeck processes mixed with a Gamma distribution

A class of fractional Ornstein–Uhlenbeck processes mixed with a Gamma distribution

We consider a sequence of fractional Ornstein–Uhlenbeck processes, that are defined as solutions of a family of stochastic Volterra equations with a kernel given by the Riesz derivative kernel, and leading coefficients given by a sequence of independent Gamma random variables. We construct a new pro...

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Bibliographic Details
Main Authors: Luigi Amedeo Bianchi, Stefano Bonaccorsi, Luciano Tubaro
Format: Article
Language:English
Published: VTeX 2022-11-01
Series:Modern Stochastics: Theory and Applications
Subjects:
Fractional Ornstein–Uhlenbeck processes
empirical means
Gamma mixing
stochastic Volterra equations
generalized Wright function
60G22
Online Access:https://www.vmsta.org/doi/10.15559/22-VMSTA216

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