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CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Weyl Multifractional Ornstein-Uhlenbeck Processes 
 Mixed with a Gamma Distribution - Astrid Hilbert (
 Linnaeus University)
DTSTART;TZID=Europe/London:20220321T093000
DTEND;TZID=Europe/London:20220321T100000
UID:TALK171635AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/171635
DESCRIPTION:The aim of this paper is to study the asymptotic b
 ehavior of the aggregated Weyl multifractional Orn
 stein-Uhlenbeck processes mixed with Gamma random 
 variables. This allows us to introduce a new proce
 ss\, so-called Gamma-mixed Weyl multifractional Or
 nstein-Uhlenbeck process (GWmOU)\, and study its e
 lementary properties such as Hausdorff dimension\,
  locally self-similarity and short range dependenc
 e. We also prove that the GWmOU process is a new c
 andidate to approach the multifractional Brownian 
 motion.\nJoint work with Kh. Es-Sebaiy\, F.E. Fara
 h\ne-publication\, Probability and Mathematical St
 atistics\, 40(2)\, 269-295 (2020). https://doi.org
 /10.37190/0208-4147.40.2.5
LOCATION:Seminar Room 1\, Newton Institute
CONTACT:
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