Results 61 to 70 of about 10,498,711 (191)
Fractional Ornstein-Uhlenbeck Processes [PDF]
, 2015 In this monograph, we are mainly studying Gaussian processes, in particularly three different types of fractional Ornstein – Uhlenbeck processes. Pioneers in this field may bementioned, e.g. Kolmogorov (1903-1987) and Mandelbrot (1924-2010).The Ornstein –
Kaarakka, Terhi
core +1 more source
Minimum Information Variability in Linear Langevin Systems via Model Predictive Control
EntropyControlling the time evolution of a probability distribution that describes the dynamics of a given complex system is a challenging problem. Achieving success in this endeavour will benefit multiple practical scenarios, e.g., controlling mesoscopic ...
Adrian-Josue Guel-Cortez +2 more
doaj +1 more source
Stochastic Theories and Deterministic Differential Equations
Advances in Mathematical Physics, 2010 We discuss the concept of “hydrodynamic” stochastic theory, which is not based on the traditional Markovian concept. A Wigner function developed for friction is used for the study of operators in quantum physics, and for the construction of a quantum ...
John F. Moxnes, Kjell Hausken
doaj +1 more source
Coupling for Ornstein–Uhlenbeck processes with jumps
Bernoulli, 2011 Published in at http://dx.doi.org/10.3150/10-BEJ308 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)
openaire +6 more sources
On Local Times of Ornstein-Uhlenbeck Processes
, 2021 We establish expressions of the local time process of an Ornstein-Uhlenbeck process in terms of the local times on curves of a Brownian motion.
openaire +1 more source
Alternative way to derive the distribution of the multivariate Ornstein–Uhlenbeck process
Advances in Difference Equations, 2019 In this paper, we solve the Fokker–Planck equation of the multivariate Ornstein–Uhlenbeck process to obtain its probability density function. This approach allows us to ascertain the distribution without solving it analytically.
P. Vatiwutipong, N. Phewchean
doaj +1 more source
Laplace and the origin of the Ornstein-Uhlenbeck process [PDF]
Bernoulli, 1996 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
Time irregularity of generalized Ornstein–Uhlenbeck processes [PDF]
Comptes Rendus. Mathématique, 2010 This Note is concerned with the properties of solutions to a linear evolution equation perturbed by a cylindrical Lévy process. It turns out that solutions, under rather weak requirements, do not have a càdlàg modification. Some natural open questions are also stated.
Z. Brzezniak +5 more
openaire +6 more sources
Parameter estimation for Ornstein–Uhlenbeck processes driven by fractional Lévy process
Journal of Inequalities and Applications, 2018 We study the minimum Skorohod distance estimation θε∗ $\theta _{\varepsilon}^{\ast }$ and minimum L1 $L_{1}$-norm estimation θε˜ $\widetilde {\theta _{\varepsilon}}$ of the drift parameter θ of a stochastic differential equation dXt=θXtdt+εdLtd $dX_{t ...
Guangjun Shen, Yunmeng Li, Zhenlong Gao
doaj +1 more source
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
openaire +2 more sources