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Gaussian and Hermite Ornstein-Uhlenbeck processes (2106.12311v2)

Published 23 Jun 2021 in math.PR, math.ST, and stat.TH

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}.

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