Related papers: Fast Bayesian inference of the multivariate Ornste…

Estimation of reliable whole-brain connectivity is a crucial step towards the use of connectivity information in quantitative approaches to the study of neuropsychiatric disorders. When estimating brain connectivity a challenge is imposed…

Let $\theta>0$. We consider a one-dimensional fractional Ornstein-Uhlenbeck process defined as $dX_t= -\theta\ X_t dt+dB_t,\quad t\geq0,$ where $B$ is a fractional Brownian motion of Hurst parameter $H\in(1/2,1)$. We are interested in the…

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…

We introduce a random matrix model for the stationary covariance of multivariate Ornstein-Uhlenbeck processes with heterogeneous temperatures, where the covariance is constrained by the Sylvester-Lyapunov equation. Using the replica method,…

Stochastic differential equations such as the Ornstein-Uhlenbeck process have long been used to model realworld probablistic events such as stock prices and temperature fluctuations. While statistical methods such as Maximum Likelihood…

Let $B^{a,b}:=\{B_t^{a,b},t\geq0\}$ be a weighted fractional Brownian motion of parameters $a>-1$, $|b|<1$, $|b|<a+1$. We consider a least square-type method to estimate the drift parameter $\theta>0$ of the weighted fractional…

We study a generalization of the Brownian bridge as a stochastic process that models the position and velocity of inertial particles between the two end-points of a time interval. The particles experience random acceleration and are assumed…

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…

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 investigate the joint distribution and the multivariate survival functions for the maxima of an Ornstein-Uhlenbeck (OU) process in consecutive time-intervals. A PDE method, alongside an eigenfunction expansion, is adopted with which we…

Stochastic burst-like oscillations are common in physiological signals, yet there are few compact generative models that capture their transient structure. We propose a numerical-twin framework that represents transient narrowband activity…

Fractional Ornstein-Uhlenbeck process of the second kind $(\text{fOU}_{2})$ is solution of the Langevin equation $\mathrm{d}X_t = -\theta X_t\,\mathrm{d}t+\mathrm{d}Y_t^{(1)}, \ \theta >0$ with driving noise $ Y_t^{(1)} := \int^t_0 e^{-s}…

We characterize throughout the spectral range of an optical trap the nature of the noise at play and the ergodic properties of the corresponding Brownian motion of an overdamped trapped single microsphere, comparing experimental, analytical…

We present an analytical study of a nonlinear oscillator subject to an additive Ornstein-Uhlenbeck noise. Known results are mainly perturbative and are restricted to the large dissipation limit (obtained by neglecting the inertial term) or…

We implement Bayesian model selection and parameter estimation for the case of fractional Brownian motion with measurement noise and a constant drift. The approach is tested on artificial trajectories and shown to make estimates that match…

Assuming that a threshold Ornstein-Uhlenbeck process is observed at discrete time instants, we propose generalized moment estimators to estimate the parameters. Our theoretical basis is the celebrated ergodic theorem. To use this theorem we…

Based on a version of Dudley's Wiener process on the mass shell in the momentum Minkowski space of a massive point particle, a model of a relativistic Ornstein--Uhlenbeck process is constructed by addition of a specific drift term. The…

We combine earlier investigations of linear systems with L\'{e}vy fluctuations [Physica {\bf 113A}, 203, (1982)] with recent discussions of L\'{e}vy flights in external force fields [Phys.Rev. {\bf E 59},2736, (1999)]. We give a complete…

In recent years there have been many proposals as flexible alternatives to Gaussian based continuous time stochastic volatility models. A great deal of these models employ positive L\'evy processes. Among these are the attractive…

The statistical analysis for equations driven by fractional Gaussian process (fGp) is relatively recent. The development of stochastic calculus with respect to the fGp allowed to study such models. In the present paper we consider the drift…