Ornstein–Uhlenbeck type processes with non-normal distribution

We analyse a class of diffusion models that (i) allows an explicit expression for the likelihood function of discrete time observation, (ii) allows the possibility of heavy-tailed observations, and (iii) allows an analysis of the tails of the increments. The class simply consists of transformed Omstein-Uhlenbeck processes and is of relevance for heavy-tailed time series. We also treat the question of the existence of an equivalent martingale measure for the class of models considered.

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