Results 51 to 60 of about 10,498,711 (191)
Time-changed fractional Ornstein-Uhlenbeck process
, 2020 We define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the density is shown ...
Mishura Y., Pirozzi E., Ascione G.
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Ornstein-Uhlenbeck Processes of Bounded Variation [PDF]
Methodology and Computing in Applied Probability, 2020 23 ...
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Markov-modulated Ornstein–Uhlenbeck processes [PDF]
Advances in Applied Probability, 2016 Abstract In this paper we consider an Ornstein–Uhlenbeck (OU) process (M(t))t≥0 whose parameters are determined by an external Markov process (X(t))t≥0 on a finite state space {1, . . ., d}; this process is usually referred to as Markov-modulated Ornstein–Uhlenbeck. We use stochastic integration theory to determine explicit expressions for the mean and
Huang, G. +5 more
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Stats, 2021 We consider a spread financial market defined by the multidimensional Ornstein–Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions using a stochastic dynamical programming method.
Sahar Albosaily +1 more
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Stochastic Volatility With an Ornstein-Uhlenbeck Process: An Extension [PDF]
SSRN Electronic Journal, 1998 Abstract In this paper, we reexamine and extend the stochastic volatility model of Stein and Stein (S&S) (1991) where volatility follows a mean–reverting Ornstein–Uhlenbeck process. Using Fourier inversion techniques we are able to allow for correlation between instantaneous volatilities and the underlying stock returns.
Schöbel, Rainer, Zhu, Jianwei
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On the Integral of the Fractional Brownian Motion and Some Pseudo-Fractional Gaussian Processes
Mathematics, 2019 We investigate the main statistical parameters of the integral over time of the fractional Brownian motion and of a kind of pseudo-fractional Gaussian process, obtained as a classical Gauss−Markov process from Doob representation by replacing ...
Mario Abundo, Enrica Pirozzi
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On the Exponentials of Fractional Ornstein-Uhlenbeck Processes
Electronic Journal of Probability, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Matsui, Muneya, Shieh, Narn-Rueih
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Transfer principle for fractional Ornstein-Uhlenbeck processes [PDF]
, 2023 We prove the transfer principle for fractional Ornstein-Uhlenbeck processes, i.e., we construct a Brownian motion that has the same filtration as the fractional Ornstein-Uhlenbeck process and then represent the fractional Ornstein-Uhlenbeck process by ...
Viitasaari, Lauri, Sottinen, Tommi
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Maximum Likelihood Estimators for a Supercritical Branching Diffusion Process
International Journal of Mathematics and Mathematical Sciences, 2012 The log-likelihood of a nonhomogeneous Branching Diffusion Process under several conditions assuring existence and uniqueness of the diffusion part and nonexplosion of the branching process.
Pablo Olivares, Janko Hernandez
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Functionals of complex Ornstein-Uhlenbeck processes
Computers & Mathematics with Applications, 1999 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Arató, M., Baran, S., Ispány, M.
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