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SUMMARY:Weyl Multifractional Ornstein-Uhlenbeck Processes Mixed with a Gam
 ma Distribution - Astrid Hilbert (Linnaeus University)
DTSTART:20220321T093000Z
DTEND:20220321T100000Z
UID:TALK171635@talks.cam.ac.uk
DESCRIPTION:The aim of this paper is to study the asymptotic behavior of t
 he aggregated Weyl multifractional Ornstein-Uhlenbeck processes mixed with
  Gamma random variables. This allows us to introduce a new process\, so-ca
 lled Gamma-mixed Weyl multifractional Ornstein-Uhlenbeck process (GWmOU)\,
  and study its elementary properties such as Hausdorff dimension\, locally
  self-similarity and short range dependence. We also prove that the GWmOU 
 process is a new candidate to approach the multifractional Brownian motion
 .\nJoint work with Kh. Es-Sebaiy\, F.E. Farah\ne-publication\, Probability
  and Mathematical Statistics\, 40(2)\, 269-295 (2020). https://doi.org/10.
 37190/0208-4147.40.2.5
LOCATION:Seminar Room 1\, Newton Institute
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