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math.PR2017
Intermittency of trawl processes
Danijel Grahovac, Nikolai N. Leonenko, Murad S. Taqqu
We study the limiting behavior of continuous time trawl processes which are defined using an infinitely divisible random measure of a time dependent set. In this way one is able to…
math.PR2017
The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
Danijel Grahovac, Nikolai N. Leonenko, Anna Sikorskii +1
Superpositions of Ornstein-Uhlenbeck type (supOU) processes form a rich class of stationary processes with a flexible dependence structure. The asymptotic behavior of the integrate…