大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Extremes of Regularly Varying Levy Driven Ornstein-Uhlenbeck Processes under Discrete Observation

大和田　孝　(Cornell University)

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4. Extremes of Regularly Varying Levy Driven Ornstein-Uhlenbeck Processes under Discrete Observation

大阪大学 金融・保険セミナーシリーズ 第26回

Extremes of Regularly Varying Levy Driven Ornstein-Uhlenbeck Processes under Discrete Observation

大和田　孝　(Cornell University)

We study discretely observed supOU(Ornstein-Uhlenbeck) processes driven by regularly varying Levy processes. SupOU processes are obtained by adding and weighing different types of OU processes, and one of the advantages of that process is that long range dependence can be easily introduced into the model.
In this talk, we investigate the tail behavior of discretely observed supOU processes and corresponding driving Levy processes. We also discuss point process convergence of these processes.