4 papers
Duals and inverse flows of generalized Ornstein-Uhlenbeck processes
Anita Behme, Henriette E. Heinrich, Alexander Lindner
We derive explicit representations for the (Siegmund) dual and the inverse flow of generalized Ornstein-Uhlenbeck processes whenever these exist. It turns out that the dual and the…
Tail behavior of Markov-modulated generalized Ornstein-Uhlenbeck processes
Gerold Alsmeyer, Anita Behme
We study the tail behavior of Markov-modulated generalized Ornstein-Uhlenbeck processes -- that is, solutions to Langevin-type stochastic differential equations driven by a backgro…
Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches
Anita Behme
We introduce generalizations of the COGARCH model of Klüppelberg et al. from 2004 and the volatility and price model of Barndorff-Nielsen and Shephard from 2001 to a Markov-switch…
On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes
Anita Behme, Paolo Di Tella, Apostolos Sideris
We establish sufficient conditions for the existence, and derive explicit formulas for the 'th moments, , of Markov modulated generalized Ornstein-Uhlenbeck processes…