Results 91 to 100 of about 3,154 (151)

Modeling Dynamic Regime Shifts in Diffusion Processes: Approximate Maximum Likelihood Estimation for Two-Threshold Ornstein–Uhlenbeck Models

open access: yesMathematics
This study addresses the problem of estimating parameters in a two-threshold Ornstein–Uhlenbeck diffusion process, a model suitable for describing systems that exhibit changes in dynamics when crossing specific boundaries. Such behavior is often observed
Svajone Bekesiene   +2 more
doaj   +1 more source

Simulation of supOU processes with specified marginal distribution and correlation function

open access: yesModern Stochastics: Theory and Applications
An algorithm is proposed for simulation of superpositions of Ornstein–Uhlenbeck processes which may have short- or long-range dependencies and specified marginal distributions.
Nikolai N. Leonenko, Andrey Pepelyshev
doaj   +1 more source

Determining the background driving process of the Ornstein-Uhlenbeck model

open access: yesElectronic Journal of Differential Equations, 2023
Maria C. Mariani   +4 more
doaj  

Home - About - Disclaimer - Privacy