The Multifaceted Behavior of Integrated supOU Processes: The Infinite Variance Case
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DOI: 10.1007/s10959-019-00935-8
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- Grahovac, Danijel & Leonenko, Nikolai N. & Taqqu, Murad S., 2019. "Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes," Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 5113-5150.
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Cited by:
- Grahovac, Danijel, 2022. "Intermittency in the small-time behavior of Lévy processes," Statistics & Probability Letters, Elsevier, vol. 187(C).
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Keywords
supOU processes; Ornstein–Uhlenbeck process; Limit theorems; Infinite variance; Stable processes;All these keywords.
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