Translator Disclaimer
June 2006 Fractional integral equations and state space transforms
Boris Buchmann, Claudia Klüppelberg
Author Affiliations +
Bernoulli 12(3): 431-456 (June 2006). DOI: 10.3150/bj/1151525129

Abstract

We introduce a class of stochastic differential equations driven by fractional Brownian motion which allow for a constructive method in order to obtain stationary solutions. This leads to a substantial extension of the fractional Ornstein-Uhlenbeck processes. Structural properties of this class of new models are investigated, and their stationary densities are explicitly given.

Citation

Download Citation

Boris Buchmann. Claudia Klüppelberg. "Fractional integral equations and state space transforms." Bernoulli 12 (3) 431 - 456, June 2006. https://doi.org/10.3150/bj/1151525129

Information

Published: June 2006
First available in Project Euclid: 28 June 2006

zbMATH: 1114.60048
MathSciNet: MR2232725
Digital Object Identifier: 10.3150/bj/1151525129

Rights: Copyright © 2006 Bernoulli Society for Mathematical Statistics and Probability

JOURNAL ARTICLE
26 PAGES


SHARE
Vol.12 • No. 3 • June 2006
Back to Top