Related papers: Adaptive Trait Evolution in Random Environment
We conduct a preliminary analysis of a pairs trading strategy using the Ornstein-Uhlenbeck (OU) process to model stock price spreads. We compare this approach to a naive pairs trading strategy that uses a rolling window to calculate mean…
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,…
Phylogeny is the field of modelling the temporal discrete dynamics of speciation. Complex models can nowadays be studied using the Approximate Bayesian Computation approach which avoids likelihood calculations. The field's progression is…
Comparative and evolutive ecologists are interested in the distribution of quantitative traits among related species. The classical framework for these distributions consists of a random process running along the branches of a phylogenetic…
We give an explicit representation for the transition law of a tempered stable Ornstein-Uhlenbeck process and use it to develop a rejection sampling algorithm for exact simulation of increments from this process. Our results apply to…
Reconstructing the ancestral state of a group of species helps answer many important questions in evolutionary biology. Therefore, it is crucial to understand when we can estimate the ancestral state accurately. Previous works provide a…
In this article, we develop a Bayesian approach to estimate parameters from time traces that originate from an overdamped Brownian particle in a harmonic potential, or Ornstein-Uhlenbeck process (OU). We show that least-square fitting the…
The phylogenetic effective sample size is a parameter that has as its goal the quantification of the amount of independent signal in a phylogenetically correlated sample. It was studied for Brownian motion and Ornstein-Uhlenbeck models of…
Diffusion processes on trees are commonly used in evolutionary biology to model the joint distribution of continuous traits, such as body mass, across species. Estimating the parameters of such processes from tip values presents challenges…
We investigate the evolutionary dynamics of a population structured in phenotype, subjected to trait dependent selection with a linearly moving optimum and an asexual mode of reproduction. Our model consists of a non-local and non-linear…
We introduce the elliptical Ornstein-Uhlenbeck (OU) process, which is a generalisation of the well-known univariate OU process to bivariate time series. This process maps out elliptical stochastic oscillations over time in the complex…
We study the adaptive dynamics of predator-prey systems modeled by a dynamical system in which the traits of predators and prey are allowed to evolve by small mutations. When only the prey are allowed to evolve, and the size of the…
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…
The coupling between evolutionary and ecological changes (eco-evolutionary dynamics) has been shown to be relevant among diverse species, and is also of interest outside of ecology, i.e. in cancer evolution. These dynamics play an important…
The value of a continuous character evolving on a phylogenetic tree is commonly modelled as the location of a particle moving under one-dimensional Brownian motion with constant rate. The Brownian motion model is best suited to characters…
Although many phenotypic traits are determined by a large number of genetic variants, how a polygenic trait adapts in response to the changes in the environment is still poorly understood. Here we study the adaptation dynamics of a…
We establish a diffusion approximation for a class of multi-agent controlled queueing systems, demonstrating their convergence to a system of interacting reflected Ornstein--Uhlenbeck (OU) processes. The limiting process captures essential…
Modern ecology has re-emphasized the need for a quantitative understanding of the original 'survival of the fittest theme' based on analyzis of the intricate trade-offs between competing evolutionary strategies that characterize the…
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…
In this project, we propose to explore the Kalman filter's performance for estimating asset prices. We begin by introducing a stochastic mean-reverting processes, the Ornstein-Uhlenbeck (OU) model. After this we discuss the Kalman filter in…