Results 161 to 170 of about 10,498,711 (191)

Critical Ornstein-Uhlenbeck processes

Applied Mathematics & Optimization, 1986
The Ornstein-Uhlenbeck position process with the invariant measure is shown to satisfy a variational principle quite analogous to Hamilton's least action principle of classical mechanics. To prove this, a stochastic calculus of variations is developed for processes with differentiable sample paths, and which form a diffusion together with their ...
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Hyperbolic Ornstein–Uhlenbeck Process

Journal of Mathematical Sciences, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Superposition of Ornstein--Uhlenbeck Type Processes

Theory of Probability & Its Applications, 2001
This paper studies a class of superpositions of Ornstein-Uhlenbeck type processes in terms of integrals with respect to independently scattered random measures. The paper develops flexible classes of processes that incorporate long-range dependence and self-similarity-like properties and that are capable of describing some of the other key ...
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On the ornstein—uhlenbeck process

Stochastics and Stochastic Reports, 1994
The paper has two objects. First, we study some properties of Ornstein-Uhlenbeck process on the Wiener space X by using the Lyons–Zheng's method of forward and backward martingales. Especially, estimates of large deviations for will be obtained.
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Survival Models Based on the Ornstein-Uhlenbeck Process

Lifetime Data Analysis, 2004
When modelling survival data it may be of interest to imagine an underlying process leading up to the event in question. The Ornstein-Uhlenbeck process is a natural model to consider in a biological context because it stabilizes around some equilibrium point.
Aalen, Odd O., Gjessing, Håkon K.
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Ornstein–Uhlenbeck process with quadratic killing

Journal of Applied Probability, 1990
An Ornstein-Uhlenbeck process subject to a quadratic killing rate is analyzed. The distribution for the process killing time is derived, generalizing the analogous result for Brownian motion. The derivation involves the use of Hermite polynomials in a spectral expansion.
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Limited Risk Control of the Ornstein-Uhlenbeck Process

Mathematische Operationsforschung und Statistik. Series Optimization, 1980
We consider the problem of steering a system described by a simple one dimensional: linear stochastic differential equation in such a way as to maximize the upper allowable limit that is exceeded by the final state with a prescribed probability. The optimal controls are computed by applying the maximum principle to an equivalent deterministic problem..
Christopeit, Norbert, Helmes, Kurt
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Regularity for semigroups of Ornstein–Uhlenbeck processes

Positivity, 2012
Let \((P_t)_{t\geq 0}\) be the semigroup of the \(d\)-dimensional Ornstein-Uhlenbeck process. Under certain assumptions, the author provides explicit estimates for \(L^p(dx)\to L^q(dx)\) norms of the semigroup \((P_t)_{t\geq 0}\) and its derivatives. \((P_t)_{t\geq 0}\) is a kind of convolution semigroup.
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A generalized ornstein-uhlenbeck process

Communications in Statistics - Theory and Methods, 1984
We construct a generalized Ornstein-Uhlenbeck velocity process as a Gaussian process with a prescribed continuous covariance on (Hσ Sobolev space). It is shown that this can be realized in and solves a martingale problem analogous to the work in [7]. In fact for σ = 0 this gives their result.
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Fractional Ornstein–Uhlenbeck Processes, Levy–Ornstein–Uhlenbeck Processes, and Fractional Levy– Ornstein–Uhlenbeck Processes

2022
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