On the exponentials of fractional Ornstein-Uhlenbeck processes.

Matsui, Muneya, and Shieh, Narn-Rueih. "On the exponentials of fractional Ornstein-Uhlenbeck processes.." Electronic Journal of Probability [electronic only] 14 (2009): 594-611. <http://eudml.org/doc/232107>.

@article{Matsui2009,
author = {Matsui, Muneya, Shieh, Narn-Rueih},
journal = {Electronic Journal of Probability [electronic only]},
keywords = {long memory; long range dependence; fractional Brownian motion; fractional Ornstein-Uhlenbeck process; exponential process; Burkholder-Davis-Gundy inequalities},
language = {eng},
pages = {594-611},
publisher = {University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham},
title = {On the exponentials of fractional Ornstein-Uhlenbeck processes.},
url = {http://eudml.org/doc/232107},
volume = {14},
year = {2009},
}

TY - JOUR
AU - Matsui, Muneya
AU - Shieh, Narn-Rueih
TI - On the exponentials of fractional Ornstein-Uhlenbeck processes.
JO - Electronic Journal of Probability [electronic only]
PY - 2009
PB - University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham
VL - 14
SP - 594
EP - 611
LA - eng
KW - long memory; long range dependence; fractional Brownian motion; fractional Ornstein-Uhlenbeck process; exponential process; Burkholder-Davis-Gundy inequalities
UR - http://eudml.org/doc/232107
ER -