Intermittency of superpositions of Ornstein-Uhlenbeck type processes

Grahovac, Danijel, Leonenko, Nikolai N. ORCID: https://orcid.org/0000-0003-1932-4091, Sikorskii, Alla and Tesnjak, Irena 2016. Intermittency of superpositions of Ornstein-Uhlenbeck type processes. Journal of Statistical Physics 165 , pp. 390-408. 10.1007/s10955-016-1616-7

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Abstract

The phenomenon of intermittency has been widely discussed in physics literature. This paper provides a model of intermittency based on Lévy driven Ornstein–Uhlenbeck (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.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Mathematics
Subjects:	Q Science > QA Mathematics
Uncontrolled Keywords:	Ornstein–Uhlenbeck type processes; Intermittency; Long range dependence; Weak convergence
Publisher:	Springer Verlag
ISSN:	0022-4715
Date of First Compliant Deposit:	10 September 2016
Date of Acceptance:	8 September 2016
Last Modified:	16 Nov 2024 12:15
URI:	https://orca.cardiff.ac.uk/id/eprint/94423

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