Minimum Information Variability in Linear Langevin Systems via Model Predictive Control
EntropyControlling the time evolution of a probability distribution that describes the dynamics of a given complex system is a challenging problem. Achieving success in this endeavour will benefit multiple practical scenarios, e.g., controlling mesoscopic ...
Adrian-Josue Guel-Cortez +2 more
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Stochastic Theories and Deterministic Differential Equations
Advances in Mathematical Physics, 2010 We discuss the concept of “hydrodynamic” stochastic theory, which is not based on the traditional Markovian concept. A Wigner function developed for friction is used for the study of operators in quantum physics, and for the construction of a quantum ...
John F. Moxnes, Kjell Hausken
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Alternative way to derive the distribution of the multivariate Ornstein–Uhlenbeck process
Advances in Difference Equations, 2019 In this paper, we solve the Fokker–Planck equation of the multivariate Ornstein–Uhlenbeck process to obtain its probability density function. This approach allows us to ascertain the distribution without solving it analytically.
P. Vatiwutipong, N. Phewchean
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Intervention in Ornstein-Uhlenbeck SDEs [PDF]
, 2013 We introduce a notion of intervention for stochastic differential equations and a corresponding causal interpretation. For the case of the Ornstein-Uhlenbeck SDE, we show that the SDE resulting from a simple type of intervention again is an Ornstein ...
Sokol, Alexander
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A set-indexed Ornstein-Uhlenbeck process
, 2012 The purpose of this article is a set-indexed extension of the well-known Ornstein-Uhlenbeck process. The first part is devoted to a stationary definition of the random field and ends up with the proof of a complete characterization by its $L^2 ...
Balança, Paul, Herbin, Erick
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On weak uniqueness for some degenerate SDEs by global $L^p$ estimates
, 2014 We prove uniqueness in law for possibly degenerate SDEs having a linear part in the drift term. Diffusion coefficients corresponding to non-degenerate directions of the noise are assumed to be continuous.
Priola, Enrico
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Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process [PDF]
Opuscula Mathematica, 2015 We adapt the general conditions of the weak convergence for the sequence of processes with discrete time to the diffusion process towards the weak convergence for the discrete-time models of a financial market to the continuous-time diffusion model ...
Yuliya Mishura
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Parameter estimation for Ornstein–Uhlenbeck processes driven by fractional Lévy process
Journal of Inequalities and Applications, 2018 We study the minimum Skorohod distance estimation θε∗ $\theta _{\varepsilon}^{\ast }$ and minimum L1 $L_{1}$-norm estimation θε˜ $\widetilde {\theta _{\varepsilon}}$ of the drift parameter θ of a stochastic differential equation dXt=θXtdt+εdLtd $dX_{t ...
Guangjun Shen, Yunmeng Li, Zhenlong Gao
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Measures of dependence for Ornstein-Uhlenbeck processes with tempered stable distribution [PDF]
In this paper we investigate the dependence structure for Ornstein-Uhlenbeck processes with totally skewed tempered stable structure. They are natural extension of Ornstein-Uhlenbeck processes with stable (and Gaussian) distribution.
Wylomanska-, Agnieszka
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An Exchange Rate Target Zone Model with a Terminal Condition and Mean-Reverting Fundamentals [PDF]
, 2015 This paper proposes a target zones exchange rate model with a terminal condition of entering a currency zone. It is assumed that the exchange rate is a function of the fundamental and time.
Ajevskis, Viktors
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