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arXiv · 2106.12311

Gaussian and Hermite Ornstein-Uhlenbeck processes

Khalifa Es-Sebaiy
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Abstract

In the present paper we study the asymptotic behavior of the auto-covariance function for Ornstein-Uhlenbeck (OU) processes driven by Gaussian noises with stationary and non-stationary increments and for Hermite OU processes. Our results are generalizations of the corresponding results of Cheridito et al. \cite{CKM} and Kaarakka and Salminen \cite{KS}.

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Khalifa Es-Sebaiy. 2021-06-23. Gaussian and Hermite Ornstein-Uhlenbeck processes. https://arxiv.org/abs/2106.12311

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