Results 31 to 40 of about 10,498,711 (191)

Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes [PDF]

, 2010
Continuous superpositions of Ornstein-Uhlenbeck processes are proposed as a model for asset return volatility. An interesting class of continuous superpositions is defined by a Gamma mixing distribution which can define long memory processes. In contrast,
Griffin, Jim E., Steel, Mark F. J., Steel, Mark F.J.   +2 more
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Some remarks on degenerate hypoelliptic Ornstein-Uhlenbeck operators [PDF]

, 2014
We study degenerate hypoelliptic Ornstein–Uhlenbeck operators in spaces with respect to invariant measures. The purpose of this article is to show how recent results on general quadratic operators apply to the study of degenerate hypoelliptic Ornstein ...
Pavliotis, Grigorios, K. Pravda-starov, Ottobre, M.; id_orcid, Pravda-Starov, Karel, G. A. Pavliotis, Pravda-Starov, K., Pavliotis, G. A., Ottobre, Michela, M. Ottobre   +8 more
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Some Ornstein-Uhlenbeck potentials for the one-dimensional Schrödinger operator part II: position-dependent drift

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
doaj   +1 more source

Model Selection Performance in Phylogenetic Comparative Methods Under Multivariate Ornstein–Uhlenbeck Models of Trait Evolution

, 2022
The advent of fast computational algorithms for phylogenetic comparative methods allows for considering multiple hypotheses concerning the co-adaptation of traits and also for studying if it is possible to distinguish between such models based on ...
Venelin Mitov, Marcin Piwczyński, Piwczyński, Marcin, Radosław Puchałka, Krzysztof Spalik, Spalik, Krzysztof, Pienaar, Jason,, Krzysztof Bartoszek, Pienaar, Jason, Piwczyński, Marcin,, Voje, Kjetil Lysne, Puchałka, Radosław,, Mitov, Venelin,, Bartoszek, Krzysztof, Jesualdo Fuentes-González, Mitov, Venelin, Jason Pienaar, Gonzalez, Jesualdo Fuentes, Kjetil Lysne Voje, Bartoszek, Krzysztof,, Spalik, Krzysztof,, Voje, Kjetil Lysne,, Puchałka, Radosław, Gonzalez, Jesualdo Fuentes,   +23 more
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Pricing the European call option in the model with stochastic volatility driven by Ornstein–Uhlenbeck process. Exact formulas

Modern Stochastics: Theory and Applications, 2015
We consider the Black–Scholes model of financial market modified to capture the stochastic nature of volatility observed at real financial markets.
Sergii Kuchuk-Iatsenko, Yuliya Mishura
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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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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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Extremal behavior of stochastic volatility models [PDF]

, 2005
Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has - sometimes quite substantial - upwards jumps and clusters on high levels.
Lindner, Alexander M., Alexander Lindner, Vicky Fasen, Lindner, A., Claudia Klüppelberg, Fasen, V., Fasen, Vicky, Klüppelberg, Claudia   +7 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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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.
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