Results 41 to 50 of about 10,498,711 (191)
A Continuous Time GARCH Process of Higher Order [PDF]
, 2005 A continuous time GARCH model of order (p,q) is introduced, which is driven by a single Lévy process. It extends many of the features of discrete time GARCH(p,q) processes to a continuous time setting.
Lindner, Alexander M. +2 more
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Quasi Ornstein–Uhlenbeck processes
Bernoulli, 2011 Published in at http://dx.doi.org/10.3150/10-BEJ311 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)
Barndorff-Nielsen, Ole Eiler +1 more
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A Stochastic Epidemic Model [PDF]
The Egyptian Statistical Journal, 1982 In this work, the stochastic epidemic model to be studied assumes just two types of individual in a population of size N, the population of infective persons of size I(t) and the susceptible population of size N-I(t) at any time t.
Shoukry E. M.
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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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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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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
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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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Ornstein-Uhlenbeck Process via Conflated Drive of Brownian Motion and Lévy Process and its Application [PDF]
, 2021 Non-linear time series and linear models were not designed to detect probabilistic process that are depict by velocity and drift associated to returns the way Ornstein-Uhlenbeck stochastic process describes diffusion and velocity associated to series or ...
Muse, Abdisalam Hassan +3 more
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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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