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Moving-average representation for the multivariate fractional Ornstein–Uhlenbeck process at Hurst index one-half
Let $Y$ be the multivariate fractional Ornstein–Uhlenbeck process with component Hurst parameters $H_1,\ldots,H_d$ , and suppose that the moving-average representation is known when…
Conjectureopenfractional-ornstein-uhlenbeck-processes stochastic-processesarXiv posted 2 days ago

Moving-average representation for the multivariate fractional Ornstein–Uhlenbeck process at Hurst index one-half