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Modeling Wind Speed Based on Fractional Ornstein-Uhlenbeck Process
Energies, 2021 The primary task of the design and feasibility study for the use of wind power plants is to predict changes in wind speeds at the site of power system installation.
Sergey Obukhov +5 more
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The Local Time of the Fractional Ornstein-Uhlenbeck Process
Abstract and Applied Analysis, 2013 We investigate the Hölder regularity of the local time of the fractional Ornstein-Uhlenbeck process . As a related problem, we study the collision local time of two independent fractional Ornstein-Uhlenbeck , with respective indices .
Guangjun Shen +3 more
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Densities for Ornstein-Uhlenbeck processes with jumps [PDF]
, 2008 We consider an Ornstein-Uhlenbeck process with values in R^n driven by a L\'evy process (Z_t) taking values in R^d with d possibly smaller than n. The L\'evy noise can have a degenerate or even vanishing Gaussian component.
Priola, Enrico, Zabczyk, Jerzy
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Introducing Randomness into First-Order and Second-Order Deterministic Differential Equations
Advances in Mathematical Physics, 2010 We incorporate randomness into deterministic theories and compare analytically and numerically some well-known stochastic theories: the Liouville process, the Ornstein-Uhlenbeck process, and a process that is Gaussian and exponentially time correlated ...
John F. Moxnes, Kjell Hausken
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On the return process with refractoriness for a non-homogeneous Ornstein-Uhlenbeck neuronal model
Mathematical Biosciences and Engineering, 2013 An Ornstein-Uhlenbeck diffusion process is considered as a model for the membrane potential activity of a single neuron. We assume that the neuron is subject to a sequence of inhibitory and excitatory post-synaptic potentials that occur with time ...
Virginia Giorno, Serena Spina
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, 2016 Supplementary text. Full explanation and supplementary validation of SCOUP. (PDF 1040 kb)
Matsumoto, Hirotaka, Kiryu, Hisanori
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, 2014 We present a detailed analysis of the eigenfunctions of the Fokker-Planck operator for the L\'evy-Ornstein-Uhlenbeck process, their asymptotic behavior and recurrence relations, explicit expressions in coordinate space for the special cases of the ...
Postnikov, Eugene B. +2 more
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Large deviations for drift parameter estimator of mixed fractional Ornstein–Uhlenbeck process
Modern Stochastics: Theory and Applications, 2016 We investigate large deviation properties of the maximum likelihood drift parameter estimator for Ornstein–Uhlenbeck process driven by mixed fractional Brownian motion.
Dmytro Marushkevych
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, 2005 First we give a construction of bridges derived from a general Markov process using only its transition densities. We give sufficient conditions for their existence and uniqueness (in law). Then we prove that the law of the radial part of the bridge with
Barczy, Matyas, Pap, Gyula
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A simple closed-form formula for the conditional moments of the Ornstein-Uhlenbeck process [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2020 This paper derives a simple closed-form formula for the n th conditional moment of the Ornstein-Uhlenbeck (O-U) process, for any positive integer n. The system of recursive ordinary differential equations (ODEs) associated with the n th conditional ...
Kittisak Chumpong +2 more
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