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math.PR2021
Gamma mixed fractional Lévy Ornstein-Uhlenbeck process
Héctor Araya, Johanna Garzón, Rolando Rubilar
In this article, we introduce a non Gaussian long memory process constructed by the aggregation of independent copies of a fractional Lévy Ornstein-Uhlenbeck process with random co…
math.PR2019
Numerical scheme for stochastic differential equations driven by fractional Brownian motion with 1/4 < H < 1/2
H. Araya, J. A. León, S. Torres
In this article, we study a numerical scheme for stochastic differential equations driven by fractional Brownian motion with Hurst parameter H in (1/4; 1/2). Towards this end, we a…