Tid: 30 oktober, 2017, kl 15.15-16.00.

Föredragshållare: Jose Morlanes (Stockholm University)

Titel: An extension of the fractional Ornstein-Uhlenbeck process

Abstract We present a family of processes related to fractional Brownian motion and Ornstein-Uhlenbeck process, the so-called fractional Ornstein-Uhlenbeck pro- cess of the second kind (fOU2). We study an estimation problem of the drift parameter in a Langevin type equation with fOU2 as its solution. We also exemplify the behaviour of the covariance structure of fOU2 using Monte Carlo techniques. The algorithms include an embedding circulant matrix method and a non-linear transformation method. The process can thus be simulated with different marginal distributions. We also explore that the simulations work properly in a defined range of values of the fOU2 parameters.

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