First Hitting Place Probabilities for a Discrete Version of the Ornstein-Uhlenbeck Process
International Journal of Mathematics and Mathematical Sciences, 2009 A Markov chain with state space {0,…,N} and transition probabilities depending on the current state is studied. The chain can be considered as a discrete Ornstein-Uhlenbeck process. The probability that the process hits N before 0 is computed explicitly.
Mario Lefebvre, Jean-Luc Guilbault
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An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
Advances in Difference Equations, 2017 In this paper, we examine an application of Ornstein-Uhlenbeck process to commodity pricing in Thailand. Prices of Tapioca Starch, Ribbed Smoke Sheet no. 3, and Thai Hom Mali Rice are investigated. We use three parameter estimation methods: least squares
Nattiya Chaiyapo, Nattakorn Phewchean
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Stationary distribution of a reaction-diffusion hepatitis B virus infection model driven by the Ornstein-Uhlenbeck process. [PDF]
PLoS One, 2023 Zhang Z, Liang G, Chang K.
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Exact solution for the Anisotropic Ornstein-Uhlenbeck process. [PDF]
Physica A, 2022 de Almeida RMC +4 more
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Open Mathematics, 2018 In this paper we investigate the stochastic retarded reaction-diffusion equations with multiplicative white noise on unbounded domain ℝn (n ≥ 2). We first transform the retarded reaction-diffusion equations into the deterministic reaction-diffusion ...
Jia Xiaoyao, Ding Xiaoquan, Gao Juanjuan
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Relationship between Age and Value of Information for a Noisy Ornstein-Uhlenbeck Process. [PDF]
Entropy (Basel), 2021 Wang Z, Badiu MA, Coon JP.
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Time Scale Transformation in Bivariate Pearson Diffusions: A Shift from Light to Heavy Tails
AxiomsHeavy-tailed Pearson diffusions provide a natural alternative to well-known Ornstein–Uhlenbeck and Cox–Ingersoll–Ross processes in applications that require addressing heavy-tailed behavior.
Nenad Šuvak
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On valuing corporate debt with the volatility of corporate assets evolving according to an Ornstein-Uhlenbeck process [PDF]
In this paper the problem of valuing corporate debt with possibility of default is considered. It is assumed that the volatility of the value of a firm's assets evolves according to an Ornstein-Uhlenbeck process and default occurs only if the value of ...
Bakhodir Ergashev
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Asymptotic Exponential Arbitrage in the Schwartz Commodity Futures Model
International Journal of Mathematics and Mathematical Sciences, 2019 In this paper, we consider the Schwartz’s one-factor model for a storable commodity and a futures contract on that commodity. We introduce the analysis of asymptotic arbitrage in storable commodity models by proving that the futures prices process allows
Tesfamariam Tadesse Welemical +2 more
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Random attractors for stochastic lattice reversible Gray-Scott systems with additive noise
Electronic Journal of Differential Equations, 2015 In this article, we prove the existence of a random attractor of the stochastic three-component reversible Gray-Scott system on infinite lattice with additive noise.
Hongyan Li, Junyi Tu
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