Well-balanced Lévy driven Ornstein-Uhlenbeck processes

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dc.contributor.authorSchnurr, Alexander
dc.contributor.authorWoerner, Jeannette H. C.
dc.date.accessioned2010-12-01T13:58:04Z
dc.date.available2010-12-01T13:58:04Z
dc.date.issued2010-12-01
dc.description.abstractIn 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.en
dc.identifier.urihttp://hdl.handle.net/2003/27519
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-15648
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823 ; 47/2010
dc.relation.isversionofhttp://hdl.handle.net/2003/27500
dc.subjectAutocorrelationen
dc.subjectFinancial modellingen
dc.subjectInfinitely divisible distributionen
dc.subjectLèvy processen
dc.subjectOrnstein-Uhlenbeck processen
dc.subjectSemimartingalen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleWell-balanced Lévy driven Ornstein-Uhlenbeck processesen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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