Fractional Ornstein-Uhlenbeck processes.

Cheridito, Patrick, Kawaguchi, Hideyuki, and Maejima, Makoto. "Fractional Ornstein-Uhlenbeck processes.." Electronic Journal of Probability [electronic only] 8 (2003): Paper No. 3, 14 p., electronic only-Paper No. 3, 14 p., electronic only. <http://eudml.org/doc/124790>.

@article{Cheridito2003,
author = {Cheridito, Patrick, Kawaguchi, Hideyuki, Maejima, Makoto},
journal = {Electronic Journal of Probability [electronic only]},
keywords = {fractional Brownian motion; Langevin equation; long-range dependence; selfsimilar processes; Lamperti transformation},
language = {eng},
pages = {Paper No. 3, 14 p., electronic only-Paper No. 3, 14 p., electronic only},
publisher = {University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham},
title = {Fractional Ornstein-Uhlenbeck processes.},
url = {http://eudml.org/doc/124790},
volume = {8},
year = {2003},
}

TY - JOUR
AU - Cheridito, Patrick
AU - Kawaguchi, Hideyuki
AU - Maejima, Makoto
TI - Fractional Ornstein-Uhlenbeck processes.
JO - Electronic Journal of Probability [electronic only]
PY - 2003
PB - University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham
VL - 8
SP - Paper No. 3, 14 p., electronic only
EP - Paper No. 3, 14 p., electronic only
LA - eng
KW - fractional Brownian motion; Langevin equation; long-range dependence; selfsimilar processes; Lamperti transformation
UR - http://eudml.org/doc/124790
ER -