Related papers: Ornstein-Uhlenbeck type processes with heavy distr…
L\'evy-driven Ornstein-Uhlenbeck (OU) processes represent an intriguing class of stochastic processes that have garnered interest in the energy sector for their ability to capture typical features of market dynamics. However, in the current…
In this paper, we analyze the use of the Ornstein-Uhlenbeck process to model dynamical systems subjected to bounded noisy perturbations. In order to discuss the main characteristics of this new approach we consider some basic models in…
The use of an Ornstein-Uhlenbeck (OU) process is ubiquitous in business, economics and finance to capture various price processes and evolution of economic indicators exhibiting mean-reverting properties. When structural changes happen,…
We investigate the asymptotic behavior of the maximum likelihood estimators of the unknown parameters of positive recurrent Ornstein-Uhlenbeck processes driven by Ornstein-Uhlenbeck processes.
This paper is devoted to parameter estimation of the mixed fractional Ornstein-Uhlenbeck process with a drift. Large sample asymptotical properties of the Maximum Likelihood Estimator is deduced using the Laplace transform computations or…
In this paper, we investigate the parameter estimation for threshold Ornstein$\mathit{-}$Uhlenbeck processes. Least squares method is used to obtain continuous-type and discrete-type estimators for the drift parameters based on continuous…
We analyze the problem of the analytical characterization of the probability distribution of financial returns in the exponential Ornstein-Uhlenbeck model with stochastic volatility. In this model the prices are driven by a Geometric…
Several integrate-to-threshold models with differing temporal integration mechanisms have been proposed to describe the accumulation of sensory evidence to a prescribed level prior to motor response in perceptual decision-making tasks. An…
In this paper we consider sample path growth of superpositions of Ornstein--Uhlenbeck type processes (supOU). SupOU processes are stationary infinitely divisible processes defined as integrals with respect to a random measure. They allow…
We deal with a complex-valued Ornstein-Uhlenbeck (OU) process with parameter $\lambda\in\mathbb{R}$starting from a point different from 0 and the way that it winds around the origin.The starting point of this paper is the skew product…
Even in a simple stochastic process, the study of the full distribution of time integrated observables can be a difficult task. This is the case of a much-studied process such as the Ornstein-Uhlenbeck process where, recently, anomalous…
In this article, we study sequential change-point methods for discretely observed generalized Ornstein-Uhlenbeck processes with periodic drift. Two detection methods are proposed, and their respective performance is studied through…
The assessing resources dynamics problem, in the context of an economic system with Gaussian consumption and deterministic productivity, is considered in this paper. Basically it is presented a discrete time recursive equation that supports…
In this study we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY driven Ornstein- Uhlenbeck process. To this end, we first calculate the characteristic function of the…
Given the observation of a high-dimensional Ornstein-Uhlenbeck (OU) process in continuous time, we proceed to the inference of the drift parameter under a row-sparsity assumption. Towards that aim, we consider the negative log-likelihood of…
We investigate the large deviation properties of the maximum likelihood estimators for the Ornstein-Uhlenbeck process with shift. We estimate simultaneously the drift and shift parameters. On the one hand, we establish a large deviation…
The multivariate Ornstein-Uhlenbeck process is used in many branches of science and engineering to describe the regression of a system to its stationary mean. Here we present an $O(N)$ Bayesian method to estimate the drift and diffusion…
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…
Let Y be an Ornstein-Uhlenbeck diffusion governed by a stationary and ergodic Markov jump process X: dY_t=a(X_t)Y_t dt+\sigma(X_t) dW_t, Y_0=y_0. Ergodicity conditions for Y have been obtained. Here we investigate the tail propriety of the…
We derive an explicit representation for the transition law of a $p$-tempered $\alpha$-stable process of Ornstein-Uhlenbeck-type and use it to develop a methodology for simulation. Our results apply in both the univariate and multivariate…