Results 11 to 20 of about 10,498,711 (191)
Free Ornstein–Uhlenbeck processes [PDF]
Journal of Mathematical Analysis and Applications, 2006 The purpose of this paper is to study the free Ornstein--Uhlenbeck processes in finite von Neumann algebras, formulated in Voiculescu's free probability. A~probability measure on \({\mathbb R}\) is free self-decomposable if and only if it is the limit distribution of a free Ornstein--Uhlenbeck process driven by a free Lévy process.
Gao, Mingchu
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The Ornstein–Uhlenbeck process driven by the Hermite–Ornstein–Uhlenbeck process
Modern Stochastics: Theory and ApplicationsIn 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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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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Spurious ergodicity breaking in normal and fractional Ornstein–Uhlenbeck process
New Journal of Physics, 2020 The Ornstein–Uhlenbeck process is a stationary and ergodic Gaussian process, that is fully determined by its covariance function and mean. We show here that the generic definitions of the ensemble- and time-averaged mean squared displacements fail to ...
Yousof Mardoukhi +2 more
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Generalized Ornstein-Uhlenbeck processes [PDF]
Journal of Mathematical Physics, 2006 We solve a physically significant extension of a classic problem in the theory of diffusion, namely the Ornstein-Uhlenbeck process [Ornstein and Uhlenbeck, Phys. Rev. 36, 823 (1930)]. Our generalized Ornstein-Uhlenbeck systems include a force which depends upon the position of the particle, as well as upon time.
Bezuglyy, V. +4 more
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Ornstein-Uhlenbeck processes in Banach spaces and their spectral representations. [PDF]
, 2002 For Q the variance of some centred Gaussian random vector in a separable Banach space it is shown that, necessarily, Q factors through $\ell^2$ as a product of 2-summing operators.
James S. Groves, Groves, James S.
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The elliptical Ornstein–Uhlenbeck process [PDF]
Statistics and Its Interface, 2023 We introduce the elliptical Ornstein-Uhlenbeck (OU) process, which is a generalisation of the well-known univariate OU process to bivariate time series. This process maps out elliptical stochastic oscillations over time in the complex plane, which are observed in many applications of coupled bivariate time series.
Sykulski, Adam +2 more
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Exact solution for the Anisotropic Ornstein-Uhlenbeck process. [PDF]
Physica A, 2022 Active Matter models commonly consider particles with overdamped dynamics subject to a force (speed) with constant modulus and random direction. Some models include also random noise in particle displacement (Wiener process) resulting in a diffusive motion at short time scales.
de Almeida RMC +4 more
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Ornstein-Uhlenbeck Processes Simulation [PDF]
, 2012 In this paper we give a brief introduction to Ornstein-Uhlenbeck processes and their simulation methods. Ornstein-Uhlenbeck processes were introduced by Barndorff-Nielsen and Shephard (2001) as a model to describe volatility in finance. Ornstein-Uhlenbeck processes are based on Levy processes. Levy processes simulation may be found in [1, 2].
Kuzmina, A.
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Ornstein–Uhlenbeck–Cauchy process [PDF]
Journal of Mathematical Physics, 2000 We combine earlier investigations of linear systems subject to Lévy fluctuations with recent attempts to give meaning to so-called Lévy flights in external force fields. We give a complete construction of the Ornstein–Uhlenbeck–Cauchy process as a fully computable paradigm example of Doob’s stable noise-supported Ornstein–Uhlenbeck process. Despite the
Garbaczewski, Piotr, Olkiewicz, Robert
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