Results 21 to 30 of about 24,420 (193)
Risks, 2022 In this study, we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY-driven Ornstein–Uhlenbeck process.
Piergiacomo Sabino
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European Journal of Mathematical Analysis, 2023 The paper estimates the Kolmogorov distance between the distribution of the normalized maximum likelihood estimator of the positive drift parameter in the nonergodic Ornstein-Uhlenbeck process and the standard Cauchy distribution and shows exponential ...
Jaya P. N. Bishwal
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Advances in Difference Equations, 2019 This paper aims to examine and establish the models for European option pricing which include parameters of stochastic dividend yield and stochastic earning yield.
N. Phewchean, Y. Wu
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Symmetry of the isotropic Ornstein-Uhlenbeck process in a force field [PDF]
Open Communications in Nonlinear Mathematical Physics, 2021 We classify simple symmetries for an Ornstein-Uhlenbeck process, describing a particle in an external force field $f(x)$. It turns out that for sufficiently regular (in a sense to be defined) forces there are nontrivial symmetries only if $f(x)$ is at ...
Giuseppe Gaeta
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Estimating Drift Parameters in a Fractional Ornstein Uhlenbeck Process with Periodic Mean [PDF]
, 2015 We construct a least squares estimator for the drift parameters of a fractional Ornstein Uhlenbeck process with periodic mean function and long range dependence. For this estimator we prove consistency and asymptotic normality.
Dehling, Herold +2 more
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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
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Ornstein–Uhlenbeck process with fluctuating damping [PDF]
Physica A: Statistical Mechanics and its Applications, 2018 This paper studies Langevin equation with random damping due to multiplicative noise and its solution. Two types of multiplicative noise, namely the dichotomous noise and fractional Gaussian noise are considered. Their solutions are obtained explicitly, with the expressions of the mean and covariance determined explicitly.
Eab, Chai Hok, Lim, Swee Cheng
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Modeling Wind Speed Based on Fractional Ornstein-Uhlenbeck Process
Energies, 2021 The primary task of the design and feasibility study for the use of wind power plants is to predict changes in wind speeds at the site of power system installation.
Sergey Obukhov +5 more
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Quasi Ornstein–Uhlenbeck processes
Bernoulli, 2011 The question of existence and properties of stationary solutions to Langevin equations driven by noise processes with stationary increments is discussed, with particular focus on noise processes of pseudo-moving-average type. On account of the Wold-Karhunen decomposition theorem, such solutions are, in principle, representable as a moving average (plus
Barndorff-Nielsen, Ole Eiler +1 more
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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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