Authors: Schnurr, Alexander
Woerner, Jeannette H. C.
Title: Well-balanced Lévy driven Ornstein-Uhlenbeck processes
Language (ISO): en
Abstract: In this paper we introduce the well-balanced Lévy driven Ornstein-Uhlenbeck process as a moving average process of the form X_t=integral(exp(-lambda*|t-u|)dL_u). In contrast to Lévy driven Ornstein-Uhlenbeck processes the well-balanced form possesses continuous sample paths and an autocorrelation function which is decreasing more slowly. Furthermore, depending on the size of lambda it allows both for positive and negative correlation of increments. As Ornstein-Uhlenbeck processes X_t is a stationary process starting at X_0=integral(exp(-lambda*u)dL_u). However, by taking a difference kernel we can construct a process with stationary increments starting at zero, which possesses the same correlation structure.
Subject Headings: Autocorrelation
Financial modelling
Infinitely divisible distribution
Lèvy process
Ornstein-Uhlenbeck process
Issue Date: 2010-12-01
Appears in Collections:Sonderforschungsbereich (SFB) 823

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