Related papers: A note about conditional Ornstein-Uhlenbeck proces…
Ornstein-Uhlenbeck processes driven by general L\'{e}vy process are considered in this paper. We derive strongly consistent estimators for the moments of the underlying L\'{e}vy process and for the mean reverting parameter of the…
We consider the Hamiltonian system with Neumann boundary conditions: \[ -\Delta u + \mu u=v^{q }, \quad -\Delta v+ \mu v=u^{p} \quad \text{ in $\Omega$}, \qquad u, v >0 \quad \text{ in $\Omega$,} \qquad \partial_\nu u= \partial_\nu v=0…
We obtain strong consistency and asymptotic normality of a least squares estimator of the drift coefficient for complex-valued Ornstein-Uhlenbeck processes disturbed by fractional noise, extending the result of Y. Hu and D. Nualart,…
In most studies for the quantification of the third thermodynamic law, the minimum temperature which can be achieved with a long but finite-time process scales as a negative power of the process duration. In this article, we use our recent…
In this note we present new examples of determinantal point processes with infinitely many particles. The particles live on the half-lattice {1,2,...} or on the open half-line (0,+\infty). The main result is the computation of the…
We present a theoretical framework that enables investigating rare transitions in a general model of an active particle in an external potential, with the thermal Active Ornstein-Uhlenbeck Particle (AOUP) appearing as a special case. Using…
For a time-changed symmetric $\alpha$-stable process killed upon hitting zero, under the condition of entrance from infinity, we prove the existence and uniqueness of quasi-stationary distribution (QSD). The exponential convergence to the…
We consider hypothetical solutions of 3D Euler which blow up in finite time in a self-similar fashion. We prove that if the initial data has finite kinetic energy, then the similarity exponent $\gamma$ which governs the rate of zooming in…
Based on a version of Dudley's Wiener process on the mass shell in the momentum Minkowski space of a massive point particle, a model of a relativistic Ornstein--Uhlenbeck process is constructed by addition of a specific drift term. The…
Let $\Omega\subset\mathbb R^N$ be a bounded open set with Lipschitz continuous boundary $\Gamma$. Let $\gamma>0$, $\delta\ge 0$ be real numbers and $\beta$ a nonnegative measurable function in $L^\infty(\Gamma)$. Using some suitable…
We introduce a family of multivariate continuous-time pure birth and pure death chains, with birth and death rates defined in terms of the generalized binomial coefficients for multiplicity free actions. The state spaces for some of the…
We develop the generalized method of moments (GMM) estimation for the parameters of the finitely mixed multi-mixed fractional Ornstein--Uhlenbeck (mmfOU) processes, and analyze the consistency and asymptotic normality of this estimator. We…
We study the stochastic growth process in discrete time $x_{i+1} = (1 + \mu_i) x_i$ with growth rate $\mu_i = \rho e^{Z_i - \frac12 var(Z_i)}$ proportional to the exponential of an Ornstein-Uhlenbeck (O-U) process $dZ_t = - \gamma Z_t dt +…
In this paper, we investigate the consistency and asymptotic efficiency of an estimator of the drift matrix, $F$, of Ornstein-Uhlenbeck processes that are not necessarily stable. We consider all the cases. (1) The eigenvalues of $F$ are in…
This paper proposes consistent and asymptotically Gaussian estimators for the drift, the diffusion coefficient and the Hurst exponent of the discretely observed fractional Ornstein-Uhlenbeck process. For the estimation of the drift, the…
For a symmetric $\alpha$-stable process $X$ on $\RR^n$ with $0<\alpha <2$, $n\geq 2$ and a domain $D \subset \RR^n$, let $L^D$ be the infinitesimal generator of the subprocess of $X$ killed upon leaving $D$. For a Kato class function $q$,…
Active Ornstein-Uhlenbeck particles (AOUPs) are overdamped particles in an interaction potential subject to external Ornstein-Uhlenbeck noises. They can be transformed into a system of underdamped particles under additional velocity…
The $N$-particle free fermion state for quantum particles in the plane subject to a perpendicular magnetic field, and with doubly periodic boundary conditions, is written in a product form. The absolute value of this is used to formulate an…
Complex Ornstein-Uhlenbeck (OU) processes have various applications in statistical modelling. They play role e.g. in the description of the motion of a charged test particle in a constant magnetic field or in the study of rotating waves in…
In this work, we study the class of stochastic process that generalizes the Ornstein-Uhlenbeck processes, hereafter called by \emph{Generalized Ornstein-Uhlenbeck Type Process} and denoted by GOU type process. We consider them driven by the…