Related papers: An exponential estimate for Hilbert space-valued O…
Motivated by the modeling of the temporal structure of the velocity field in a highly turbulent flow, we propose and study a linear stochastic differential equation that involves the ingredients of a Ornstein-Uhlenbeck process, supplemented…
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 propose a non-Gaussian operator-valued extension of the Barndorff-Nielsen and Shephard stochastic volatility dynamics, defined as the square-root of an operator-valued Ornstein-Uhlenbeck process with Levy noise and bounded drift. We…
We provide necessary and sufficient conditions for a Hilbert space-valued Ornstein-Uhlenbeck process to be reversible with respect to its invariant measure $\mu$. For a reversible process the domain of its generator in $L^p(\mu )$ is…
Among all generalized Ornstein-Uhlenbeck processes which sample the same invariant measure and for which the same amount of randomness (a $N$-dimensional Brownian motion) is injected in the system, we prove that the asymptotic rate of…
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 article, existence of the $k$-th order derivatives of local time $ \widehat{\alpha}^{(k)}(x,t)$ is considered for two d-dimensional fractional Ornstein-Uhlenbeck processes $X^{H_1}_t$ and $\widetilde{X}^{H_2}_s$ with Hurst…
Let $H$ be a real separable Hilbert space and $(a_k)_{k\in\mathbb{Z}}$ a sequence of bounded linear operators from $H$ to $H$. We consider the linear process $X$ defined for any $k$ in $\mathbb{Z}$ by…
In the paper we consider the problem of estimating parameters entering the drift of a fractional Ornstein-Uhlenbeck type process in the non-ergodic case, when the underlying stochastic integral is of Young type. We consider the sampling…
The Ornstein-Uhlenbeck process is interpreted as Brownian motion in a harmonic potential. This Gaussian Markov process has a bounded variance and admits a stationary probability distribution, in contrast to the standard Brownian motion. It…
We consider a reflected Ornstein-Uhlenbeck process $X$ driven by a fractional Brownian motion with Hurst parameter $H\in (0, \frac12) \cup (\frac12, 1)$. Our goal is to estimate an unknown drift parameter $\alpha\in (-\infty,\infty)$ on the…
We provide upper bounds of the expected Wasserstein distance between a probability measure and its empirical version, generalizing recent results for finite dimensional Euclidean spaces and bounded functional spaces. Such a generalization…
We define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the…
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 extend the theoretical results for any FOU(p) processes for the case in which the Hurst parameter is less than 1/2 and we show theoretically and by simulations that under some conditions on T and the sample size n it is possible to…
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,…
The Laplace transform of the first passage time density of the Ornstein--Uhlenbeck process for a constant threshold contains a ratio of two parabolic cylinder functions for which no analytical inversion formula is available. Recently…
Let $I, J\subset \mathbb{R}$ be closed intervals, and let $H$ be $C^{3}$ smooth real valued function on $I\times J$ with nonvanishing $H_{x}$ and $H_{y}$. Take any fixed positive numbers $a,b$, and let $d\mu$ be a probability measure with…
We study an infinite-dimensional Ornstein-Uhlenbeck process $(X_t)$ in a given Hilbert space $H$. This is driven by a cylindrical symmetric L\'evy process without a Gaussian component and taking values in a Hilbert space $U$ which usually…
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…