Gaussian and Hermite Ornstein-Uhlenbeck processes (2106.12311v2)

Abstract: In the present paper we study the asymptotic behavior of the auto-covariance function for Ornstein-Uhlenbeck (OU) processes driven by Gaussian noises with stationary and non-stationary increments and for Hermite OU processes. Our results are generalizations of the corresponding results of Cheridito et al. \cite{CKM} and Kaarakka and Salminen \cite{KS}.