Related papers: Phase descriptions of a multidimensional Ornstein-…
We develop a numerical approach to reconstruct the phase dynamics of driven or coupled self-sustained oscillators. Employing a simple algorithm for computation of the phase of a perturbed system, we construct numerically the equation for…
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…
For a time-dependent $\tau$-periodic harmonic oscillator of two linearly independent homogeneous solutions of classical equation of motion which are bounded all over the time (stable), it is shown, there is a representation of states cyclic…
In plasma turbulence theory, due to the complexity of the system with many non-linearly interacting waves, the dynamics of the phases is often disregarded and the so-called random-phase approximation (RPA) is used assuming the existence of…
The von Neumann interaction between a particle and an apparatus, both of arbitrary mass, has been considered in the measurement of the position of a simple harmonic oscillator acted on by an external force. When the measurement has finite…
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 fractional Ornstein-Uhleneck (fOU) process is described by the overdamped Langevin equation $\dot{x}(t)+\gamma x=\sqrt{2 D}\xi(t)$, where $\xi(t)$ is the fractional Gaussian noise with the Hurst exponent $0<H<1$. For $H\neq 1/2$ the fOU…
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 harmonic oscillator is the paragon of physical models; conceptually and computationally simple, yet rich enough to teach us about physics on scales that span classical mechanics to quantum field theory. This multifaceted nature extends…
The purpose of this article is a set-indexed extension of the well-known Ornstein-Uhlenbeck process. The first part is devoted to a stationary definition of the random field and ends up with the proof of a complete characterization by its…
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 formulate a theory for the collective phase description of oscillatory convection in Hele-Shaw cells. It enables us to describe the dynamics of the oscillatory convection by a single degree of freedom which we call the collective phase.…
Self-oscillation is a phenomenon studied across many scientific disciplines, including the engineering of efficient heat engines and electric generators. We investigate the single electron shuttle, a model nano-scale system that exhibits a…
Several important properties of positive semidefinite processes of Ornstein--Uhlenbeck type are analysed. It is shown that linear operators of the form $X\mapsto AX+XA^{\mathrm{T}}$ with $A\in M_d(\mathbb{R})$ are the only ones that can be…
We present the correct space of test functions for the Ornstein-Uhlenbeck processes defined in \cite{fgn2}. Under these new spaces, an invariance with respect to a second order operator is shown, granting the existence and uniqueness of…
In this article we define and investigate statistical operators and an entropy functional for Bernstein stochastic processes associated with hierarchies of forward-backward systems of decoupled deterministic linear parabolic partial…
We consider the area functional defined by the integral of an Ornstein-Uhlenbeck process which starts from a given value and ends at the time it first reaches zero (its equilibrium level). Exact results are presented for the mean, variance,…
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…
This survey is a preliminary version of a chapter of the forthcoming book "Stochastic Analysis for Poisson Point Processes: Malliavin Calculus, Wiener-It\^o Chaos Expansions and Stochastic Geometry" edited by Giovanni Peccati and Matthias…
We study the first-passage dynamics of a non-Markovian stochastic process with time-averaged feedback, which we model as a one-dimensional Ornstein--Uhlenbeck process wherein the particle drift is modified by the empirical mean of its…