Duals and inverse flows of generalized Ornstein-Uhlenbeck processes
Probability
2026-03-02 v4
Abstract
We derive explicit representations for the (Siegmund) dual and the inverse flow of generalized Ornstein-Uhlenbeck processes whenever these exist. It turns out that the dual and the process corresponding to the inverse stochastic flow are again generalized Ornstein-Uhlenbeck processes. Further, we observe that the stationary distribution of the dual process provides information about the hitting time of zero of the original process.
Cite
@article{arxiv.2504.05157,
title = {Duals and inverse flows of generalized Ornstein-Uhlenbeck processes},
author = {Anita Behme and Henriette E. Heinrich and Alexander Lindner},
journal= {arXiv preprint arXiv:2504.05157},
year = {2026}
}
Comments
23 pages