Related papers: On Bernstein processes generated by hierarchies of…

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…

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…

This paper presents an {\it ab initio} derivation of the expression given by irreversible thermodynamics for the rate of entropy production for different classes of diffusive processes. The first class are Lorentz gases, where…

We use the generic chaining device proposed by Talagrand to establish exponential bounds on the deviation probability of some suprema of random processes. Then, given a random vector $\xi$ in $\R^{n}$ the components of which are independent…

The purpose of the present work is to construct estimators for the random effects in a fractional diffusion model using a hybrid estimation method where we combine parametric and nonparametric thechniques. We precisely consider $n$…

Let $\mathcal P_2$ be the space of probability measures on $\R^d$ having finite second moment, and consider the Riemannian structure on $\mathcal P_2$ induced by the intrinsic derivative on the $L^2$-tangent space. By using stochastic…

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 construct multiperiodic processes -- a simple example of stationary ergodic (but not mixing) processes over natural numbers that enjoy the vanishing entropy rate under a mild condition. Multiperiodic processes are supported on randomly…

The purpose of the research is to find the numerical solutions to the system of time dependent nonlinear parabolic partial differential equations (PDEs) utilizing the Modified Galerkin Weighted Residual Method (MGWRM) with the help of…

We study the existence of densities for distributions of piecewise deterministic Markov processes. We also obtain relationships between invariant densities of the continuous time process and that of the process observed at jump times. In…

Consider a periodic, mean-reverting Ornstein-Uhlenbeck process $X=\{X_t,t\geq0\}$ of the form $d X_{t}=\left(L(t)+\alpha X_{t}\right) d t+ dB^H_{t}, \quad t \geq 0$, where $L(t)=\sum_{i=1}^{p}\mu_i\phi_i (t)$ is a periodic parametric…

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…

This is a continuation of our papers \cite{AP2} and \cite{AP3}. In those papers we obtained estimates for finite differences $(\D_Kf)(A)=f(A+K)-f(A)$ of the order 1 and $(\D_K^mf)(A)\df\sum\limits_{j=0}^m(-1)^{m-j}(m\j)f\big(A+jK\big)$ of…

We consider a class of infinite-dimensional dynamical systems driven by non-linear parabolic partial differential equations with initial condition $\theta$ modelled by a Gaussian process `prior' probability measure. Given discrete samples…

Statistical mechanics of the discrete nonlinear Schr\"odinger equation is studied by means of analytical and numerical techniques. The lower bound of the Hamiltonian permits the construction of standard Gibbsian equilibrium measures for…

In this article, we study strictly elliptic, second-order differential operators on a bounded Lipschitz domain in $\mathbb{R}^d$, subject to certain non-local Wentzell-Robin boundary conditions. We prove that such operators generate…

We address the problem of integrating operator equations concomitant with the dynamics of non autonomous quantum systems by taking advantage of the use of time-dependent canonical transformations. In particular, we proceed to a discussion…

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…

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…

We consider a problem of parameter estimation for the state space model described by linear stochastic differential equations. We assume that an unobservable Ornstein-Uhlenbeck process drives another observable process by the linear…