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20122026
most citedModelling energy spot prices by volatility modulated Lévy-driven Volterra processes

94 citations · 133 across the 33 of their papers we have counts for

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math.ST2026

Consistent community recovery in stochastic block Ornstein-Uhlenbeck processes

Anders Norlyk, Almut E. D. Veraart

We propose the stochastic block Ornstein-Uhlenbeck (SBOU) process, a continuous-time multivariate model in which the drift matrix encodes a latent group structure among its compone…

math.ST2026

Edge-indexed network time series with graph Ornstein-Uhlenbeck dynamics

Jiaming Chen, Almut E. D. Veraart

We introduce a class of Lévy-driven graph Ornstein-Uhlenbeck (grOU) models for edge-indexed network time series. The proposed framework extends generalized network autoregressive (…