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arXiv 2402.01196math.PR
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积分型 supOU 过程的几乎必然增长

Almost sure growth of integrated supOU processes

Danijel Grahovac, Peter Kevei

AI总结:

研究积分型 supOU 过程的几乎必然增长率,基于 Lévy 测度和依赖测度特性,证明 Marcinkiewicz-Zygmund 型 SLLN。

摘要:

Ornstein-Uhlenbeck 过程的叠加允许灵活的依赖结构,包括 OU 型过程的长期依赖。其复杂的渐近性由三种效应决定:Lévy 测度在无穷远和零处的行为,以及控制依赖性的测度在零处的行为。我们建立了依赖于过程特征的几乎必然增长率,并证明了积分过程的 Marcinkiewicz-Zygmund 型 SLLN。

英文摘要:

Superpositions of Ornstein-Uhlenbeck processes allow a flexible dependence structure, including long range dependence for OU-type processes. Their complex asymptotics are governed by three effects: the behavior of the Lévy measure both at infinity and at zero, and the behavior at zero of the measure governing the dependence. We establish almost sure rates of growth depending on the characteristics of the process and prove a Marcinkiewicz--Zygmund type SLLN for the integrated process.

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