Results 31 to 40 of about 24,420 (193)
Densities for Ornstein-Uhlenbeck processes with jumps [PDF]
, 2008 We consider an Ornstein-Uhlenbeck process with values in R^n driven by a L\'evy process (Z_t) taking values in R^d with d possibly smaller than n. The L\'evy noise can have a degenerate or even vanishing Gaussian component.
Priola, Enrico, Zabczyk, Jerzy
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Introducing Randomness into First-Order and Second-Order Deterministic Differential Equations
Advances in Mathematical Physics, 2010 We incorporate randomness into deterministic theories and compare analytically and numerically some well-known stochastic theories: the Liouville process, the Ornstein-Uhlenbeck process, and a process that is Gaussian and exponentially time correlated ...
John F. Moxnes, Kjell Hausken
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On the return process with refractoriness for a non-homogeneous Ornstein-Uhlenbeck neuronal model
Mathematical Biosciences and Engineering, 2013 An Ornstein-Uhlenbeck diffusion process is considered as a model for the membrane potential activity of a single neuron. We assume that the neuron is subject to a sequence of inhibitory and excitatory post-synaptic potentials that occur with time ...
Virginia Giorno, Serena Spina
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Multivariate generalized Ornstein–Uhlenbeck processes
Stochastic Processes and their Applications, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Behme, Anita, Lindner, Alexander
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Gaussian and hermite Ornstein–Uhlenbeck processes [PDF]
Stochastic Analysis and Applications, 2022 In the present paper we study the asymptotic behavior of the auto-covariance function for Ornstein-Uhlenbeck (OU) processes driven by Gaussian noises with stationary and non-stationary increments and for Hermite OU processes. Our results are generalizations of the corresponding results of Cheridito et al. \cite{CKM} and Kaarakka and Salminen \cite{KS}.
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On conditional Ornstein–Uhlenbeck processes [PDF]
Advances in Applied Probability, 1984 It is well known that the law of a Brownian motion started from x > 0 and conditioned never to hit 0 is identical with the law of a three-dimensional Bessel process started from x. Here we show that a similar description is valid for all linear Ornstein–Uhlenbeck Brownian motions.
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, 2014 We present a detailed analysis of the eigenfunctions of the Fokker-Planck operator for the L\'evy-Ornstein-Uhlenbeck process, their asymptotic behavior and recurrence relations, explicit expressions in coordinate space for the special cases of the ...
Postnikov, Eugene B. +2 more
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Large deviations for drift parameter estimator of mixed fractional Ornstein–Uhlenbeck process
Modern Stochastics: Theory and Applications, 2016 We investigate large deviation properties of the maximum likelihood drift parameter estimator for Ornstein–Uhlenbeck process driven by mixed fractional Brownian motion.
Dmytro Marushkevych
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, 2005 First we give a construction of bridges derived from a general Markov process using only its transition densities. We give sufficient conditions for their existence and uniqueness (in law). Then we prove that the law of the radial part of the bridge with
Barczy, Matyas, Pap, Gyula
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Fractional iterated Ornstein-Uhlenbeck Processes
Latin American Journal of Probability and Mathematical Statistics, 2019 Summary: We present a Gaussian process that arises from the iteration of \(p\) fractional Ornstein-Uhlenbeck processes generated by the same fractional Brownian motion. When the values of the parameters defining the iteration are pairwise distinct, this iteration results in a particular linear combination of those processes.
Kalemkerian, Juan, León, José Rafael
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