Results 101 to 110 of about 10,498,711 (191)

FPT densities constructions from Ornstein-Uhlenbeck process.

, 2008
A direct construction of first-passage-time (FPT) probability density functions (pdf’s) for a preassigned diffusion process in terms of the FPT pdf’s of Ornstein-Uhlenbeck (OU) process restricted between constant boundaries is ...
Enrica Pirozzi, V. GIORNO, Luigi Maria Ricciardi, PIROZZI, ENRICA, GIORNO, Virginia, RICCIARDI, LUIGI MARIA, NOBILE, Amelia Giuseppina, A. G. NOBILE   +7 more
core   +1 more source

The Ornstein-Uhlenbeck process as a model for neuronal activity

, 1979
Mean and variance of the first passage time through a constant boundary for the Ornstein-Uhlenbeck process are determined by a straight-forward differentiation of the Laplace transform of the first passage time probability density function.
L. SACERDOTE, RICCIARDI, LUIGI MARIA
core   +1 more source

Simulation of supOU processes with specified marginal distribution and correlation function

Modern 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

Simulation of multifractal products of Ornstein-Uhlenbeck type processes

, 2010
This paper investigates and provides evidence of the multifractal properties of products of the exponential of Ornstein–Uhlenbeck processes driven by Lévy motion. We demonstrate in detail the construction of a multifractal process with gamma subordinator
Anh, Vo, Anh, Vo V.;Leonenko, Nikolai N.;Shieh, Narn-Rueih;Taufer, Emanuele, Anh, Vo V., Leonenko, Nikolai N., Shieh, Narn-Rueih, Taufer, Emanuele, Leonenko, Nikolai   +6 more
core   +1 more source

Ornstein-Uhlenbeck bridge [PDF]

, 2009
In the Thesis we study the Ornstein-Uhlenbeck Bridges. First, we recall the notion of the fractional Brownian motion and introduce stochastic integral of a deterministic function with respect to (fBm). We summarize the results on existence and uniqueness
Janák, Josef
core  

Unrestricted consumption under a deterministic wealth and an Ornstein-Uhlenbeck process as a discount rate. [PDF]

Stoch Model, 2018
Eisenberg J.
europepmc   +1 more source

Stochastic dual epidemic hypothesis model with Ornstein-Uhlenbeck process: Analysis and numerical simulations with SARS-CoV-2 variants

, 2023
Shi Z, Jiang D.
europepmc   +1 more source

A multilevel Ornstein-Uhlenbeck process with individual- and variable-specific estimates as random effects. [PDF]

Br J Math Stat Psychol
Martínez-Huertas JÁ, Ferrer E.
europepmc   +1 more source

Optimal control of an Ornstein-Uhlenbeck process

In this paper, we consider an Ornstein-Uhlenbeck process in both a finite and a semi-infinite interval. Depending on the form of the cost function, our aim is either to leave the interval as soon as possible or to maximize the time spent in the interval,
Lefebvre, Mario
core  

Accelerated First-Passage Dynamics in a Non-Markovian Feedback Ornstein-Uhlenbeck Process. [PDF]

J Stat Phys
Coghi F, Duvezin R, Wettlaufer JS.
europepmc   +1 more source