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Pregled bibliografske jedinice broj: 833104

Intermittency of superpositions of Ornstein-Uhlenbeck type processes

Grahovac, Danijel; Leonenko, Nikolai; Sikorski, Alla; Tešnjak, Irena
Intermittency of superpositions of Ornstein-Uhlenbeck type processes // Journal of statistical physics, 165 (2016), 2; 390-408 doi:10.1007/s10955-016-1616-7 (međunarodna recenzija, članak, znanstveni)

CROSBI ID: 833104 Za ispravke kontaktirajte CROSBI podršku putem web obrasca

Naslov
Intermittency of superpositions of Ornstein-Uhlenbeck type processes

Autori
Grahovac, Danijel ; Leonenko, Nikolai ; Sikorski, Alla ; Tešnjak, Irena

Izvornik
Journal of statistical physics (0022-4715) 165 (2016), 2; 390-408

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Ornstein-Uhlenbeck type processes ; intermittency ; long range dependence ; weak convergence

Sažetak
The phenomenon of intermittency has been widely discussed in physics literature. This paper provides a model of intermittency based on Lévy driven OrnsteinUhlenbeck (OU) type processes. Discrete superpositions of these processes can be constructed to incorporate non-Gaussian marginal distributions and long or short range dependence. While the partial sums of finite superpositions of OU type processes obey the central limit theorem, we show that the partial sums of a large class of infinite long range dependent superpositions are intermittent. We discuss the property of intermittency and behavior of the cumulants for the superpositions of OU type processes.

Izvorni jezik
Engleski

Znanstvena područja
Matematika



POVEZANOST RADA

Projekti:
HRZZ-IP-2013-11-3933 - Razvoj i upotreba modela za procjenu potencijala za rast za mala i srednja poduzeća u Hrvatskoj (CROSMEGROWTH) (Šarlija, Nataša, HRZZ - 2013-11) ( CroRIS)

Ustanove:
Sveučilište u Osijeku, Odjel za matematiku

Profili:

Avatar Url Danijel Grahovac (autor)

Poveznice na cjeloviti tekst rada:

Pristup cjelovitom tekstu rada doi link.springer.com dx.doi.org

Citiraj ovu publikaciju:

Grahovac, Danijel; Leonenko, Nikolai; Sikorski, Alla; Tešnjak, Irena
Intermittency of superpositions of Ornstein-Uhlenbeck type processes // Journal of statistical physics, 165 (2016), 2; 390-408 doi:10.1007/s10955-016-1616-7 (međunarodna recenzija, članak, znanstveni)
Grahovac, D., Leonenko, N., Sikorski, A. & Tešnjak, I. (2016) Intermittency of superpositions of Ornstein-Uhlenbeck type processes. Journal of statistical physics, 165 (2), 390-408 doi:10.1007/s10955-016-1616-7.
@article{article, author = {Grahovac, Danijel and Leonenko, Nikolai and Sikorski, Alla and Te\v{s}njak, Irena}, year = {2016}, pages = {390-408}, DOI = {10.1007/s10955-016-1616-7}, keywords = {Ornstein-Uhlenbeck type processes, intermittency, long range dependence, weak convergence}, journal = {Journal of statistical physics}, doi = {10.1007/s10955-016-1616-7}, volume = {165}, number = {2}, issn = {0022-4715}, title = {Intermittency of superpositions of Ornstein-Uhlenbeck type processes}, keyword = {Ornstein-Uhlenbeck type processes, intermittency, long range dependence, weak convergence} }
@article{article, author = {Grahovac, Danijel and Leonenko, Nikolai and Sikorski, Alla and Te\v{s}njak, Irena}, year = {2016}, pages = {390-408}, DOI = {10.1007/s10955-016-1616-7}, keywords = {Ornstein-Uhlenbeck type processes, intermittency, long range dependence, weak convergence}, journal = {Journal of statistical physics}, doi = {10.1007/s10955-016-1616-7}, volume = {165}, number = {2}, issn = {0022-4715}, title = {Intermittency of superpositions of Ornstein-Uhlenbeck type processes}, keyword = {Ornstein-Uhlenbeck type processes, intermittency, long range dependence, weak convergence} }

Časopis indeksira:


  • Current Contents Connect (CCC)
  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus

Uključenost u ostale bibliografske baze podataka::


  • Zentrallblatt für Mathematik/Mathematical Abstracts

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