Translator Disclaimer
2009 On the Exponentials of Fractional Ornstein-Uhlenbeck Processes
Muneya Matsui, Narn-Rueih Shieh
Author Affiliations +
Electron. J. Probab. 14: 594-611 (2009). DOI: 10.1214/EJP.v14-628

Abstract

We study the correlation decay and the expected maximal increment (Burkholder-Davis-Gundy type inequalities) of the exponential process determined by a fractional Ornstein-Uhlenbeck process. The method is to apply integration by parts formula on integral representations of fractional Ornstein-Uhlenbeck processes, and also to use Slepian's inequality. As an application, we attempt Kahane's T-martingale theory based on our exponential process which is shown to be of long memory.

Citation

Download Citation

Muneya Matsui. Narn-Rueih Shieh. "On the Exponentials of Fractional Ornstein-Uhlenbeck Processes." Electron. J. Probab. 14 594 - 611, 2009. https://doi.org/10.1214/EJP.v14-628

Information

Accepted: 27 February 2009; Published: 2009
First available in Project Euclid: 1 June 2016

zbMATH: 1191.60048
MathSciNet: MR2486815
Digital Object Identifier: 10.1214/EJP.v14-628

Subjects:
Primary: 60G15, 60G17
Secondary: 60G10, 62M10

JOURNAL ARTICLE
18 PAGES


SHARE
Vol.14 • 2009
Back to Top