Related papers: A note about conditional Ornstein-Uhlenbeck proces…
We establish large deviation principles for the couple of the maximum likelihood estimators of dimensional and drift coefficients in the generalised squared radial Ornstein-Uhlenbeck process. We focus our attention to the most tractable…
We consider the area functional defined by the integral of an Ornstein-Uhlenbeck process which starts from a given value and ends at the time it first reaches zero (its equilibrium level). Exact results are presented for the mean, variance,…
We consider the extreme value statistics of correlated random variables that arise from a Langevin equation. Recently, it was shown that the extreme values of the Ornstein-Uhlenbeck process follow a different distribution than those…
A stochastic process is at thermodynamic equilibrium if it obeys time-reversal symmetry; forward and reverse time are statistically indistinguishable at steady state. Non-equilibrium processes break time-reversal symmetry by maintaining…
We consider the Ornstein-Uhlenbeck (OU) process, a stochastic process widely used in finance, physics, and biology. Parameter estimation of the OU process is a challenging problem. Thus, we review traditional tracking methods and compare…
The Uhlmann process is built on the density matrix of a mixed quantum state and offers a way to characterize topological properties at finite temperatures. We analyze an ideal spin-j quantum paramagnet in a magnetic field undergoing an…
In this paper, we consider an ergodic Ornstein-Uhlenbeck process with jumps driven by a Brownian motion and a compensated Poisson process, whose drift and diffusion coefficients as well as its jump intensity depend on unknown parameters.…
We show that the multiplication operator associated to a fractional power of a Gamma random variable, with parameter q>0, maps the convex cone of the 1-invariant functions for a self-similar semigroup into the convex cone of the q-invariant…
Physics, chemistry, biology or finance are just some examples out of the many fields where complex Ornstein-Uhlenbeck (OU) processes have various applications in statistical modelling. They play role e.g. in the description of the motion of…
In this paper, we consider the problem of statistical inference for generalized Ornstein-Uhlenbeck processes of the type \[ X_{t} = e^{-\xi_{t}} \left( X_{0} + \int_{0}^{t} e^{\xi_{u-}} d u \right), \] where \(\xi_s\) is a L{\'e}vy process.…
We compare two ways of constructing confidence intervals for the moments-matching parameter estimates of a Gaussian spatio-temporal Ornstein-Uhlenbeck process. It was found that those obtained via pairwise likelihood approximations had…
In this paper we study the L\'evy Ornstein- Uhlenbeck equation $\partial_t X_t=-m\,X_t+\eta$. The transition kernel of the L\'evy Ornstein- Uhlenbeck process is given by a series which is not convergent in general, a large diffusion…
While short-range dependence is widely assumed in the literature for its simplicity, long-range dependence is a feature that has been observed in data from finance, hydrology, geophysics and economics. In this paper, we extend a…
We prove two martingale identities which involve exit times of Levy-driven Ornstein--Uhlenbeck processes. Using these identities we find an explicit formula for the Laplace transform of the exit time under the assumption that positive jumps…
We develop efficient methods for simulating processes of Ornstein-Uhlenbeck type related to the class of $p$-tempered $\alpha$-stable ($\ts$) distributions. Our results hold for both the univariate and multivariate cases and we consider…
We introduce a random matrix model for the stationary covariance of multivariate Ornstein-Uhlenbeck processes with heterogeneous temperatures, where the covariance is constrained by the Sylvester-Lyapunov equation. Using the replica method,…
We consider the weakly asymmetric simple exclusion process in the presence of a slow bond and starting from the invariant state, namely the Bernoulli product measure of parameter $\rho\in(0,1)$. The rate of passage of particles to the right…
We investigate the asymptotic properties of the minimum $L_1$-norm estimator of the drift parameter for fractional Ornstein-Uhlenbeck type process driven by a general Gaussian process.
If $Q$ is a real, symmetric and positive definite $n\times n$ matrix, and $B$ a real $n\times n$ matrix whose eigenvalues have negative real parts, we consider the Ornstein--Uhlenbeck semigroup on $\mathbb{R}^n$ with covariance $Q$ and…
We announce a new four parameter partition theorem from which the (big) theorem of Gollnitz follows by setting any one of the parameters equal to 0. This settles a problem of Andrews who asked whether there exists a result that goes beyond…