Gamma mixed fractional Lévy Ornstein-Uhlenbeck process

2021/07/21 by Araya, Héctor, Garzón, Johanna, Rubilar, Rolando
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2107.09829

Abstract

In this article, we introduce a non Gaussian long memory process constructed by the aggregation of independent copies of a fractional Lévy Ornstein-Uhlenbeck process with random coefficients. Several properties and a limit theorem are studied for this new process. Finally, some simulations of the limit process are shown.

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