Existence and uniqueness of stationary Lévy-driven CARMA processes

Time Series: Theory and Methods

Eric R. Ziegel, Peter J. Brockwell, Richard A. Davis · Technometrics · 1992 · 5.1K citations

Computing, Data Science, Econometrics +16

Lévy-Driven Carma Processes

Peter J. Brockwell · Annals of the Institute of Statistical Mathematics · 2001 · 209 citations

Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type

Ken‐iti Sato, Makoto Yamazato · Stochastic Processes and their Applications · 1984 · 200 citations

Engineering, Mathematics, Probability Theory +11

On a continuous analogue of the stochastic difference equation Xn=ρXn-1+Bn

Stephen James Wolfe · Stochastic Processes and their Applications · 1982 · 169 citations

Engineering, Mathematics, Probability Theory +12

Lévy-driven and fractionally integrated ARMA processes with continuous time parameter

Peter J. Brockwell, Tina Marquardt · mediaTUM – the media and publications repository of the Technical University Munich (Technical University Munich) · 2005 · 103 citations · Full text

Engineering, Economics, Finance +17