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Fractional Ornstein-Uhlenbeck Process with Stochastic Forcing,and its Applications |
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| Authors: | Ascione Giacomo Mishura Yuliya Pirozzi Enrica |
| Affiliation: | 1.Dipartimento di Matematica e Applicazioni, Università di Napoli FEDERICO II, Via Cintia, 80126, Napoli, Italy ;2.Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, Volodymyrska 64, Kyiv, 01601, Ukraine ; |
| Abstract: | Methodology and Computing in Applied Probability - We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic... |
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