A class of fractional Ornstein–Uhlenbeck processes mixed with a Gamma distribution
A class of fractional Ornstein–Uhlenbeck processes mixed with a Gamma distribution
We consider a sequence of fractional Ornstein-Uhlenbeck processes, that are defined as solutions of a family of stochastic Volterra equations with kernel given by the Riesz derivative kernel, and leading coefficients given by a sequence of independent Gamma random variables. We construct a new process by taking the empirical mean …