Zhang, Pu; Xiao, Wei-lin; Zhang, Xi-li; Niu, Pan-qiang - In: Economic Modelling 36 (2014) C, pp. 198-203
Fractional Ornstein–Uhlenbeck process is an extended model of the traditional Ornstein–Uhlenbeck process that provides some useful models for many physical and financial phenomena demonstrating long-range dependencies. Obviously, if some phenomenon can be modeled by fractional...