Abstract
In the present paper we study the asymptotic behavior of the auto-covariance function for Ornstein–Uhlenbeck (OU) processes driven by Gaussian noises with stationary and non-stationary increments and for Hermite OU processes. Our results are generalizations of the corresponding results of Cheridito et al. and Kaarakka and Salminen.
| Original language | English |
|---|---|
| Pages (from-to) | 394-423 |
| Number of pages | 30 |
| Journal | Stochastic Analysis and Applications |
| Volume | 41 |
| Issue number | 2 |
| DOIs | |
| State | Published - 2023 |
Keywords
- Gaussian and Hermite Ornstein–Uhlenbeck processes
- auto-covariance function
- stationarity and ergodicity
Funding Agency
- Kuwait Foundation for the Advancement of Sciences