Related papers: Gaussian and Hermite Ornstein-Uhlenbeck processes
In this article we prove new results regarding the existence of Bernstein processes associated with the Cauchy problem of certain forward-backward systems of decoupled linear deterministic parabolic equations defined in Euclidean space of…
We use Brownian dynamics simulations to study a model of a cyclic bacterial heat engine based on a harmonically confined colloidal probe particle in a bath formed by active Brownian particles. For intermediate activities, active noise…
It is considered Ornstein-Uhlenbeck process $ x_t = x_0 e^{-\theta t} + \mu (1-e^{-\theta t}) + \sigma \int_0^t e^{-\theta (t-s)} dW_s$, where $x_0 \in R$, $\theta>0$, $ \mu \in R$ and $\sigma > 0$ are parameters. By use values $(z_k)_{k…
The estimation of the covariance structure from a discretely observed multivariate Gaussian process under asynchronicity and noise is analysed under high-frequency asymptotics. Asymptotic lower and upper bounds are established for a general…
We study rates of convergence in central limit theorems for the partial sum of squares of general Gaussian sequences, using tools from analysis on Wiener space. No assumption of stationarity, asymptotically or otherwise, is made. The main…
In this paper, we consider an inference problem for the first order autoregressive process with non-zero mean driven by a long memory stationary Gaussian process. Suppose that the covariance function of the noise can be expressed as…
We describe quantization designs which lead to asymptotically and order optimal functional quantizers. Regular variation of the eigenvalues of the covariance operator plays a crucial role to achieve these rates. For the development of a…
Let $G=\{G(x),x\ge 0\}$ be a mean zero Gaussian process with stationary increments and set $\sigma^2(|x-y|)= E(G(x)-G(y))^2$. Let $f$ be a function with $Ef^{2}(\eta)<\ff$, where $\eta=N(0,1)$. When $\sigma^2$ is regularly varying at zero…
Lognormality was found experimentally for coarse-grained squared turbulence velocity and velocity increment when the coarsening scale is comparable to the correlation scale of the velocity (Mouri et al. Phys. Fluids 21, 065107, 2009). We…
The phenomenon of intermittency has been widely discussed in physics literature. This paper provides a model of intermittency based on L\'evy driven Ornstein-Uhlenbeck (OU) type processes. Discrete superpositions of these processes can be…
The main objective of the paper is to study the long-time behavior of general discrete dynamics driven by an ergodic stationary Gaussian noise. In our main result, we prove existence and uniqueness of the invariant distribution and exhibit…
We extend the kinematic matrix ("kinematrix") formalism [Phys. Rev. E 89, 062304 (2014)], which via simple matrix algebra accesses ensemble properties of self-propellers influenced by uncorrelated noise, to treat Gaussian correlated noises.…
This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by L\'{e}vy subordinators. We construct their sample path decomposition, show that they possess mean-reverting jumps, study their equivalent…
We study analytically and numerically the problem of a nonlinear mechanical oscillator with additive noise in the absence of damping. We show that the amplitude, the velocity and the energy of the oscillator grow algebraically with time.…
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…
We study the short-time asymptotical behavior of stochastic flows on \mathbb{R} in the \sup-norm. The results are stated in terms of a Gaussian process associated with the covariation of the flow. In case the Gaussian process has a…
The process $(G_t)_{t\in[0,T]}$ is referred to as a fractional Gaussian process if the first-order partial derivative of the difference between its covariance function and that of the fractional Brownian motion $(B^H_t)_{t\in[0,T ]}$ is a…
We study the asymptotic behaviour of modified weighted power variations of the Hermite process of arbitrary order. By selecting suitable "good" increments and exploiting their decomposition into dominant independent components, we establish…
We investigate the asymptotic properties of the minimum $L_1$-norm estimator of the drift parameter for fractional Ornstein-Uhlenbeck type process driven by a Hermite process.
A scalar Langevin-type process $X(t)$ that is driven by Ornstein-Uhlenbeck noise $\eta(t)$ is non-Markovian. However, the joint dynamics of $X$ and $\eta$ is described by a Markov process in two dimensions. But even though there exists a…