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SUMMARY:Multiscaling\, intermittency and  large deviation in limit theorem
 s for superpositions of Ornstein-Uhlenbeck type processes - Nikolai  Leone
 nko (Cardiff University)
DTSTART:20230822T140000Z
DTEND:20230822T150000Z
UID:TALK204283@talks.cam.ac.uk
DESCRIPTION:Superpositions of Ornstein-Uhlenbeck type (supOU) processes pr
 ovide a rich class of stationary stochastic processes for which the margin
 al distribution and the dependence structure may be modeled independently 
 [1\,2]. We investigate the limiting behavior of integrated supOU processes
  with finite variance[3\,4\,6] (see also [7] for multifaced behaviour of s
 upOU processes in the case the infinite variance).\nWe show that after sui
 table normalization four different limiting processes may arise. The type 
 of limit depends on the decay of the correlation function as well as on th
 e characteristic triplet of the marginal distribution. supOU processes\, m
 oreover\, may exhibit intermittency\, a phenomenon affecting the rate of g
 rowth of moments[3\,4\,5\,6\,8]. The intermittency phenomenon appears also
  in some other models\, for example\, in the subclass of ambit processes[2
 ] known as trawl processes [5].\nJoint work with D. Grahovac (Osijek Unive
 rsity\, Croatia) and M. Taqqu (Boston University\, USA).
LOCATION:Seminar Room 2\, Newton Institute
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