Levy Noise Affects Ornstein–Uhlenbeck Memory
This paper investigates the memory of the Ornstein–Uhlenbeck process (OUP) via three ratios of the OUP increments: signal-to-noise, noise-to-noise, and tail-to-tail. Intuition suggests the following points: (1) changing the noise that drives the OUP from Gauss to Levy will not affect the memory, as...
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| Médium: | Artigo |
| Jazyk: | Inglês |
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MDPI AG
2025-02-01
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| Edice: | Entropy |
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| On-line přístup: | https://www.mdpi.com/1099-4300/27/2/157 |
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