Applications of a Superposed Ornstein-Uhlenbeck Type Processes
Document Type
Article
Digital Object Identifier (DOI)
10.31390/josa.3.4.03
Journal Title
Journal of Stochastic Analysis
Publication Date
2022
Abstract
We discuss modeling of the evolution of risky assets using Fractal Activity Time Geometric Brownian Motion (FATGBM) and Ornstein-Uhlenbeck processes driven by Levy process. The proposed strategy is tested using actual data and the model is calibrated for the chosen data.
Publisher Statement
Journal of Stochastic Analysis (JOSA) is an online open access journal that aims to present original research papers of high quality in stochastic analysis (both theory and applications) and emphasizes the global development of the scientific community.
Recommended Citation
Randrianambinina, Santatriniaina Avotra, and Julius Esunge. 2022. “Applications of a Superposed Ornstein-Uhlenbeck Type Processes.” Journal of Stochastic Analysis 3 (4). https://doi.org/10.31390/josa.3.4.03.
Comments
This article is available due to the hard work of the Louisiana State University (LSU) Scholarly Repository.