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math.PR2024★ 5 cited
Dickman type stochastic processes with short- and long- range dependence
Danijel Grahovac, Anastasiia Kovtun, Nikolai N. Leonenko +1
We study properties of the (generalized) Dickman distribution with two parameters and the stationary solution of the Ornstein-Uhlenbeck stochastic differential equation driven by a…
math.PR2024
Tail behavior and almost sure growth rate of supOU processes
Danijel Grahovac, Peter Kevei
In this paper we consider sample path growth of superpositions of Ornstein--Uhlenbeck type processes (supOU). SupOU processes are stationary infinitely divisible processes defined…
math.PR2024★ 1 cited
Almost sure growth of integrated supOU processes
Danijel Grahovac, Peter Kevei
Superpositions of Ornstein-Uhlenbeck processes allow a flexible dependence structure, including long range dependence for OU-type processes. Their complex asymptotics are governed…