Schnurr, Alexander; Woerner, Jeannette H. C. - In: Statistics & Risk Modeling 28 (2011) 4, pp. 343-357
Abstract In this paper we introduce the well-balanced Lévy driven Ornstein–Uhlenbeck process as a moving average process of the form X t = ∫ exp(- λ | t - u |) dL u . In contrast to Lévy driven Ornstein–Uhlenbeck processes the well-balanced form possesses continuous sample paths and...