Related papers: An exponential estimate for Hilbert space-valued O…

In the context of non-equilibrium statistical physics, the entropy production rate is an important concept to describe how far a specific state of a system is from its equilibrium state. In this paper, we establish a central limit theorem…

We consider the problem of efficient estimation of the drift parameter of an Ornstein-Uhlenbeck type process driven by a L\'{e}vy process when high-frequency observations are given. The estimator is constructed from the time-continuous…

Ornstein-Uhlenbeck process of bounded variation is introduced as a solution of an analogue of the Langevin equation with an integrated telegraph process replacing a Brownian motion. There is an interval $I$ such that the process starting…

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…

Let $B$ be a $d$-dimensional Gaussian process on $\mathbb{R}$, where the component are independents copies of a scalar Gaussian process $B_0$ on $\mathbb{R}_+$ with a given general variance function…

In this short communication we present a (functional) central limit theorem for the idle process of a one-sided reflected Ornstein-Uhlenbeck proces.

We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process…

Let $\mu$ be a positive Borel measure on the interval $[0,1)$. For $\gamma>0$, the Hankel matrix $\mathcal{H}_{\mu,\gamma}=(\mu_{n,k})_{n,k\geq0}$ with entries $\mu_{n,k}=\mu_{n+k}$, where $\mu_{n+k}=\int_{0}^{\infty}t^{n+k}d\mu(t)$.…

If $f$ is a real-valued function on $[-\pi,\pi]$ that is Henstock--Kurzweil integrable, let $u_r(\theta)$ be its Poisson integral. It is shown that $\|u_r\|_p=o(1/(1-r))$ as $r\to 1$ and this estimate is sharp for $1\leq p\leq\infty$. If…

The behaviour of the generalized Hilbert operator associated with a positive finite Borel measure $\mu$ on $[0,1)$ is investigated when it acts on weighted Banach spaces of holomorphic functions on the unit disc defined by sup-norms and on…

For any nonempty set $U\subset\R^+$, we consider the maximal operator $\h^U$ defined as $\h^Uf=\sup_{u\in U}|H^{(u)} f|$, where $H^{(u)}$ represents the Hilbert transform along the monomial curve $u\gamma(s)$. We focus on the…

Let $X$ be a separable Hilbert space endowed with a non-degenerate centred Gaussian measure $\gamma$ and let $\lambda_1$ be the maximum eigenvalue of the covariance operator associated with $\gamma$. The associated Cameron--Martin space is…

We prove rate of convergence results for singular perturbations of Hamilton-Jacobi equations in unbounded spaces where the fast operator is linear, uniformly elliptic and has an Ornstein-Uhlenbeck-type drift. The slow operator is a fully…

In an infinite dimensional separable Hilbert space $X$, we study the realizations of Ornstein-Uhlenbeck evolution operators $\pst$ in the spaces $L^p(X,\g_t)$, $\{\g_t\}_{t\in\R}$ being the unique evolution system of measures for $\pst$ in…

This work concerns the Ornstein-Uhlenbeck type process associated to a positive self-similar Markov process $(X(t))_{t\geq 0}$ which drifts to $\infty$, namely $U(t):= {\rm e}^{-t}X({\rm e}^t-1)$. We point out that $U$ is always a…

We consider the problem of asymptotically efficient estimation of drift parameters of the ergodic fractional Ornstein-Uhlenbeck process under continuous observations when the Hurst parameter $H<1/2$ and the mean of its stationary…

We consider compact Hankel operators realized in $\ell^2(\mathbb Z_+)$ as infinite matrices $\Gamma$ with matrix elements $h(j+k)$. Roughly speaking, we show that, for all $\alpha>0$, the singular values $s_{n}$ of $\Gamma$ satisfy the…

We first study the drift parameter estimation of the fractional Ornstein-Uhlenbeck process (fOU) with periodic mean for every $\frac{1}{2}<H<1$. More precisely, we extend the consistency proved in \cite{DFW} for $\frac{1}{2}<H<\frac{3}{4}$…

In this paper, we investigate the consistency and asymptotic efficiency of an estimator of the drift matrix, $F$, of Ornstein-Uhlenbeck processes that are not necessarily stable. We consider all the cases. (1) The eigenvalues of $F$ are in…

In this article we study the asymptotic behaviour of the realized quadratic variation of a process $\int_{0}^{t}u_{s}dG^{H}_{s}$, where $u$ is a $\beta$-H\"older continuous process with $\beta >1-H$ and $G^H$ is a self-similar Gaussian…