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math.PR2007★ 7 cited
On fractional Ornstein-Uhlenbeck processes
Terhi Kaarakka, Paavo Salminen
In this paper we study Doob's transform of fractional Brownian motion (FBM). It is well known that Doob's transform of standard Brownian motion is identical in law with the Ornstei…
math.PR2007
Analysis of stochastic fluid queues driven by local time processes
Takis Konstantopoulos, Andreas Kyprianou, Marina Sirvio +1
We consider a stochastic fluid queue served by a constant rate server and driven by a process which is the local time of a certain Markov process. Such a stochastic system can be u…