Results 21 to 30 of about 10,498,711 (191)
Spherical Ornstein-Uhlenbeck Processes [PDF]
Journal of Statistical Physics, 2011 The paper considers random motion of a point on the surface of a sphere, in the case where the angular velocity is determined by an Ornstein-Uhlenbeck process. The solution is fully characterized by only one dimensionless number, the persistence angle, which is the typical angle of rotation of the object during the correlation time of the angular ...
Wilkinson, Michael, Pumir, Alain
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Data Analysis Using a Coupled System of Ornstein–Uhlenbeck Equations Driven by Lévy Processes
Axioms, 2022 In this work, we have analyzed data sets from various fields using a coupled Ornstein–Uhlenbeck (OU) system of equations driven by Lévy processes. The Ornstein–Uhlenbeck model is well known for its ability to capture stochastic behaviors when used as a ...
Maria C. Mariani +3 more
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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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Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models [PDF]
, 2005 We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stochastic volatility model of Barndorff-Nielsen and Shephard (2001) with those of the COGARCH process.
Ross Maller +6 more
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Modern Stochastics: Theory and Applications, 2014 European call option issued on a bond governed by a modified geometric Ornstein-Uhlenbeck process, is investigated. Objective price of such option as a function of the mean and the variance of a geometric Ornstein-Uhlenbeck process is studied.
Yu. Mishura, G. Rizhniak, V. Zubchenko
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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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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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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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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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