Results 21 to 30 of about 24,373 (148)

Some Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent drift

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
doaj   +1 more source

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
core   +1 more source

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, Dongjin Zhu, Yong Ren, Xueping Ding   +3 more
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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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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
doaj   +1 more source

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, Khamron Mekchay, Sanae Rujivan   +2 more
doaj   +1 more source

Martingale-valued measures, Ornstein-Uhlenbeck processes with jumps and operator self-decomposability in Hilbert space [PDF]

, 2006
We investigate a class of Hilbert space valued martingale-valued measures whose covariance structure is determined by a trace class positive operator valued measure. The paradigm example is the martingale part of a Levy process.
Applebaum, D.
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Additional file 1 of SCOUP: a probabilistic model based on the Ornsteinâ Uhlenbeck process to analyze single-cell expression data during differentiation

, 2016
Supplementary text. Full explanation and supplementary validation of SCOUP. (PDF 1040 kb)
Matsumoto, Hirotaka, Kiryu, Hisanori
openaire   +1 more source

The Ornstein–Uhlenbeck process driven by the Hermite–Ornstein–Uhlenbeck process

Modern Stochastics: Theory and Applications
In this paper, a non-Gaussian Ornstein–Uhlenbeck process driven by a Hermite–Ornstein–Uhlenbeck process is introduced, which belongs to the qth Wiener chaos.
Charles-Philippe Diez, Ciprian A. Tudor
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Spectral properties of fractional Fokker-Plank operator for the L\'evy flight in a harmonic potential

, 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., Sokolov, Igor M., Toenjes, Ralf   +2 more
core   +1 more source