The Ornstein–Uhlenbeck process driven by the Hermite–Ornstein–Uhlenbeck process
Abstract
In this paper, a non-Gaussian Ornstein–Uhlenbeck process driven by a Hermite–Ornstein–Uhlenbeck process is introduced, which belongs to the qth Wiener chaos. A systematic procedure to identify the drift parameter θ and the Hurst parameter H is given based on the study of the limit behavior of its quadratic variations. Estimators for these two parameters and their asymptotic properties are studied.
Fields of Study & Subjects
Stochastic processes and financial applications
Stochastic processes and statistical mechanics
Complex Systems and Time Series Analysis
Publication details
- Journal / source
- Modern Stochastics Theory and Applications
- Pages
- 255–273
- Publication date
- 1 January 2026
- Language
- EN