Results 41 to 50 of about 24,420 (193)
A simple closed-form formula for the conditional moments of the Ornstein-Uhlenbeck process [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2020 This paper derives a simple closed-form formula for the n th conditional moment of the Ornstein-Uhlenbeck (O-U) process, for any positive integer n. The system of recursive ordinary differential equations (ODEs) associated with the n th conditional ...
Kittisak Chumpong +2 more
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Martingale-valued measures, Ornstein-Uhlenbeck processes with jumps and operator self-decomposability in Hilbert space [PDF]
, 2006 We investigate a class of Hilbert space valued martingale-valued measures whose covariance structure is determined by a trace class positive operator valued measure. The paradigm example is the martingale part of a Levy process.
Applebaum, D.
core +1 more source
p-variation of Ornstein–Uhlenbeck type processes
Lietuvos Matematikos Rinkinys, 2007 The p-variation of sample paths of Ornstein–Uhlenbeck type processes is investigated. It is shown that the p-variation index of such a process is the same as the p-variation index of the driving Lévy process, provided this process is of unbounded total ...
Martynas Manstavičius
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Optimal consumption problem in the Vasicek model [PDF]
Opuscula Mathematica, 2015 We consider the problem of an optimal consumption strategy on the infinite time horizon based on the hyperbolic absolute risk aversion utility when the interest rate is an Ornstein-Uhlenbeck process.
Jakub Trybuła
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Irreversibility in Active Matter: General Framework for Active Ornstein-Uhlenbeck Particles
Frontiers in Physics, 2021 Active matter systems are driven out of equilibrium by conversion of energy into directed motion locally on the level of the individual constituents.
Lennart Dabelow, Ralf Eichhorn
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Journal of Biological Dynamics, 2022 This paper is concerned with a modified Leslie–Gower and Holling-type II two-predator one-prey model with Lévy jumps. First, we use an Ornstein–Uhlenbeck process to describe the environmental stochasticity and prove that there is a unique positive ...
Yongxin Gao, Fan Yang
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Free Ornstein–Uhlenbeck processes
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.
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Well-balanced Lévy driven Ornstein–Uhlenbeck processes [PDF]
Statistics & Risk Modeling, 2011 Abstract In this paper we introduce the well-balanced Lévy driven Ornstein–Uhlenbeck process as a moving average process of the form X t = ∫ exp(-λ|t-u|)dL u .
Schnurr, Alexander +1 more
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Advanced Science, EarlyView.Synaptic vesicle (SV) motion and exocytosis dynamics in the presynaptic terminals of live neurons are intimately linked to synaptic transmission during neuronal activity. In this work, it is revealed that, during electrical stimulation, SVs located farther from their fusion sites exhibit greater straightness and experience larger mean forces directed ...
Gyunam Park +7 more
wiley +1 more source
Ornstein–Uhlenbeck processes on Lie groups
Journal of Functional Analysis, 2008 We consider Ornstein-Uhlenbeck processes (OU-processes) associated to hypoelliptic diffusion processes on finite-dimensional Lie groups: let $ \mathcal{L} $ be a hypoelliptic, left-invariant ``sum of the squares''-operator on a Lie group $ G $ with associated Markov process $ X $, then we construct OU-processes by adding negative horizontal gradient ...
Baudoin, Fabrice +2 more
openaire +5 more sources