2013/82/3-4 (7) — DOI: 10.5486/PMD.2013.5381 — pp. 607-622
Full Text Abstract

Gamma-mixed Ornstein—Uhlenbeck sheet

Authors: Ciprian A. Tudor and Maria Tudor

Keywords: Ornstein-Uhlenbeck process, self-similarity, fractional Brownian sheet, weak convergence, stochastic differential equation

Mathematics Subject Classification: 60F05, 60H05, 91G70, 60G60, 60G22