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Data Analysis Using a Coupled System of Ornstein–Uhlenbeck Equations Driven by Lévy Processes
Axioms, 2022 In this work, we have analyzed data sets from various fields using a coupled Ornstein–Uhlenbeck (OU) system of equations driven by Lévy processes. The Ornstein–Uhlenbeck model is well known for its ability to capture stochastic behaviors when used as a ...
Maria C. Mariani +3 more
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Ornstein–Uhlenbeck Process on Three-Dimensional Comb under Stochastic Resetting
Mathematics, 2023 The Ornstein–Uhlenbeck (O-U) process with resetting is considered as the anomalous transport taking place on a three-dimensional comb. The three-dimensional comb is a comb inside a comb structure, consisting of backbones and fingers in the following ...
Pece Trajanovski +3 more
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Spurious ergodicity breaking in normal and fractional Ornstein–Uhlenbeck process
New Journal of Physics, 2020 The Ornstein–Uhlenbeck process is a stationary and ergodic Gaussian process, that is fully determined by its covariance function and mean. We show here that the generic definitions of the ensemble- and time-averaged mean squared displacements fail to ...
Yousof Mardoukhi +2 more
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Modern Stochastics: Theory and Applications, 2014 European call option issued on a bond governed by a modified geometric Ornstein-Uhlenbeck process, is investigated. Objective price of such option as a function of the mean and the variance of a geometric Ornstein-Uhlenbeck process is studied.
Yu. Mishura, G. Rizhniak, V. Zubchenko
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Risks, 2022 In this study, we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY-driven Ornstein–Uhlenbeck process.
Piergiacomo Sabino
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European Journal of Mathematical Analysis, 2023 The paper estimates the Kolmogorov distance between the distribution of the normalized maximum likelihood estimator of the positive drift parameter in the nonergodic Ornstein-Uhlenbeck process and the standard Cauchy distribution and shows exponential ...
Jaya P. N. Bishwal
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Advances in Difference Equations, 2019 This paper aims to examine and establish the models for European option pricing which include parameters of stochastic dividend yield and stochastic earning yield.
N. Phewchean, Y. Wu
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Symmetry of the isotropic Ornstein-Uhlenbeck process in a force field [PDF]
Open Communications in Nonlinear Mathematical Physics, 2021 We classify simple symmetries for an Ornstein-Uhlenbeck process, describing a particle in an external force field $f(x)$. It turns out that for sufficiently regular (in a sense to be defined) forces there are nontrivial symmetries only if $f(x)$ is at ...
Giuseppe Gaeta
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Estimating Drift Parameters in a Fractional Ornstein Uhlenbeck Process with Periodic Mean [PDF]
, 2015 We construct a least squares estimator for the drift parameters of a fractional Ornstein Uhlenbeck process with periodic mean function and long range dependence. For this estimator we prove consistency and asymptotic normality.
Dehling, Herold +2 more
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Revista de Matemática: Teoría y Aplicaciones, 2009 We consider the Schr¨odinger operator on the unit circle, whose potential is an Ornstein – Uhlenbeck type process, with drift depending on its position.
Santiago Cambronero
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