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
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
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