Related papers: Analyzing a stochastic process driven by Ornstein-…
We study a fairly general class of time-homogeneous stochastic evolutions driven by noises that are not white in time. As a consequence, the resulting processes do not have the Markov property. In this setting, we obtain constructive…
We are studying stationary random processes with conditional polynomial moments that allow a continuous path modification. Processes with continuous path modification, are important because they are relatively easy to simulate. One does not…
In this work we investigate the long time behavior of the Ornstein-Uhlenbeck process driven by Levy noise with regime-switching. We provide explicit criteria on the transience and recurrence of this process. Contrasted with the…
We refer by threshold Ornstein-Uhlenbeck to a continuous-time threshold autoregressive process. It follows the Ornstein-Uhlenbeck dynamics when above or below a fixed level, yet at this level (threshold) its coefficients can be…
In this article we consider static Bayesian parameter estimation for partially observed diffusions that are discretely observed. We work under the assumption that one must resort to discretizing the underlying diffusion process, for…
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…
In this paper we study the pricing of exchange options under a dynamic described by stochastic correlation with random jumps. In particular, we consider a Ornstein-Uhlenbeck covariance model with Levy Background Noise Process driven by…
Piecewise $\alpha$-stable Ornstein-Uhlenbeck (OU) processes arising in queue networks usually do not have an explicit dissipation, which makes the related numerical methods such as Euler-Maruyama (EM) scheme more difficult to analyze. We…
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…
We study the stochastic growth process in discrete time $x_{i+1} = (1 + \mu_i) x_i$ with growth rate $\mu_i = \rho e^{Z_i - \frac12 var(Z_i)}$ proportional to the exponential of an Ornstein-Uhlenbeck (O-U) process $dZ_t = - \gamma Z_t dt +…
In this paper we introduce the well-balanced L\'{e}vy driven Ornstein-Uhlenbeck process as a moving average process of the form $X_t=\int \exp(-\lambda |t-u|)dL_u$. In contrast to L\'{e}vy driven Ornstein-Uhlenbeck processes the…
We consider the Ornstein-Uhlenbeck (OU) process, a stochastic process widely used in finance, physics, and biology. Parameter estimation of the OU process is a challenging problem. Thus, we review traditional tracking methods and compare…
We propose a generalization of the Ornstein-Uhlenbeck process in 1+1 dimensions which is the product of a temporal Ornstein-Uhlenbeck process with a spatial one and has exponentially decaying autocorrelation. The generalized Langevin…
We investigate the concept of cylindrical Wiener process subordinated to a strictly $\alpha$-stable L\'evy process, with $\alpha\in\left(0,1\right)$, in an infinite dimensional, separable Hilbert space, and consider the related stochastic…
In this paper, a purely measurement-based method is proposed to estimate the dynamic system state matrix by applying the regression theorem of the multivariate Ornstein-Uhlenbeck process. The proposed method employs a recursive algorithm to…
The question of existence and properties of stationary solutions to Langevin equations driven by noise processes with stationary increments is discussed, with particular focus on noise processes of pseudo-moving-average type. On account of…
This paper proposes a novel purely measurement-based method for estimating dynamic load parameters in near real-time when stochastic load fluctuations are present. By leveraging on the regression theorem for the Ornstein-Uhlenbeck process,…
We examine the question of existence and uniqueness of evolution systems of measures for non-autonomous Ornstein-Uhlenbeck-type processes with jumps. In particular, we give examples where we explicitly compute the densities of such families…
We develop a novel class of MCMC algorithms based on a stochastized Nesterov scheme. With an appropriate addition of noise, the result is a time-inhomogeneous underdamped Langevin equation, which we prove emits a specified target…
This paper considers the strong error analysis of the Euler and fast Euler methods for nonlinear overdamped generalized Langevin equations driven by the fractional noise. The main difficulty lies in handling the interaction between the…