Related papers: Limit theorems for reflected Ornstein-Uhlenbeck pr…

Let $\mathcal P_2$ be the space of probability measures on $\R^d$ having finite second moment, and consider the Riemannian structure on $\mathcal P_2$ induced by the intrinsic derivative on the $L^2$-tangent space. By using stochastic…

The paper studies a class of Ornstein-Uhlenbeck processes on the classical Wiener space. These processes are associated with a diffusion type Dirichlet form whose corresponding diffusion operator is unbounded in the Cameron-Martin space. It…

We derive bridges from general multidimensional linear non time-homogeneous processes using only the transition densities of the original process giving their integral representations (in terms of a standard Wiener process) and so-called…

In this article, we fill a gap in the literature on Hawkes processes. In particular, we derive a CLT for a non linear compound marked Hawkes process. We also provide an upper bound on the convergence rate using the functional 1-Wasserstein…

We collect, scattered through literature, as well as we prove some new properties of two Markov processes that in many ways resemble Wiener and Ornstein--Uhlenbeck processes. Although processes considered in this paper were defined either…

This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by L\'{e}vy subordinators. We construct their sample path decomposition, show that they possess mean-reverting jumps, study their equivalent…

The use of limiting methods for high-order numerical approximations of hyperbolic conservation laws generally requires defining an admissible region/bounds for the solution. In this work, we present a novel approach for computing solution…

The trace of a Markov process is the time changed process of the original process on the support of the Revuz measure used in the time change. In this paper, we will concentrate on the reflecting Brownian motions on certain closed strips.…

For the Moran model with strong or moderately strong selection we prove that the fluctuations around the deterministic limit of the line counting process of the ancestral selection graph converge to an Ornstein-Uhlenbeck process. To this…

We study high-dimensional Ornstein--Uhlenbeck processes driven by L\'evy noise and consider drift matrices that decompose into a low-rank plus sparse component, capturing a few latent factors together with a sparse network of direct…

In this article, relying on Foster-Lyapunov drift conditions, we establish subexponential upper and lower bounds on the rate of convergence in the $\mathrm{L}^p$-Wasserstein distance for a class of irreducible and aperiodic Markov…

We study the Reflect-Reflect-Relax (RRR) algorithm in its small-step (flow-limit) regime. In the smooth transversal setting, we show that the transverse dynamics form a hyperbolic sink, yielding exponential decay of a natural gap measure.…

We study the positive recurrence of piecewise Ornstein-Uhlenbeck (OU) diffusion processes, which arise from many-server queueing systems with phase-type service requirements. These diffusion processes exhibit different behavior in two…

In this paper, we consider the statistical inference of the drift parameter $\theta$ of non-ergodic Ornstein-Uhlenbeck~(O-U) process driven by a general Gaussian process $(G_t)_{t\ge 0}$. When $H \in (0, \frac 12) \cup (\frac 12,1) $ the…

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.…

Tight estimates of exit/containment probabilities are of particular importance in many control problems. Yet, estimating the exit/containment probabilities is non-trivial: even for linear systems (Ornstein-Uhlenbeck processes), 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…

In this paper, we rigorously justify the incompressible Euler limit of the Boltzmann equation with general Maxwell reflection boundary condition in the half-space. The accommodation coefficient $\alpha \in (0,1]$ is assumed to be $O(1)$.…

We present a way to use Stein's method in order to bound the Wasserstein distance of order $2$ between two measures $\nu$ and $\mu$ supported on $\mathbb{R}^d$ such that $\mu$ is the reversible measure of a diffusion process. In order to…

\noindent \textbf{Abstract}: We consider the parameter estimation problem for the Ornstein-Uhlenbeck process $X$ driven by a fractional Ornstein-Uhlenbeck process $V$, i.e. the pair of processes defined by the non-Markovian continuous-time…