Related papers: Gaussian and Hermite Ornstein-Uhlenbeck processes
We obtain Fisher-Hartwig asymptotics with root and jump type singularities in space-time under the law of the stationary Hermitian Ornstein-Uhlenbeck process, which serve as a dynamical generalization of earlier static results obtained by…
We consider an evolution operator for a discrete Langevin equation with a strongly hyperbolic classical dynamics and noise with finite moments. Using a perturbative expansion of the evolution operator we calculate high order corrections to…
Hierarchical autocorrelation in the error term of linear models arises when sampling units are related to each other according to a tree. The residual covariance is parametrized using the tree-distance between sampling units. When…
Let $(Z^{q, H}_t)_{t \in [0, 1]^d}$ denote a $d$-parameter Hermite random field of order $q \geq 1$ and self-similarity parameter $H = (H_1, \ldots, H_d) \in (\frac{1}{2}, 1)^d$. This process is $H$-self-similar, has stationary increments…
Stochastic approximation (SA) is a method for finding the root of an operator perturbed by noise. There is a rich literature establishing the asymptotic normality of rescaled SA iterates under fairly mild conditions. However, these…
We consider an Ornstein-Uhlenbeck process with values in R^n driven by a L\'evy process (Z_t) taking values in R^d with d possibly smaller than n. The L\'evy noise can have a degenerate or even vanishing Gaussian component. Under a…
Self-propelled particles, which convert energy into mechanical motion, exhibit inertia if they have a macroscopic size or move inside a gaseous medium, in contrast to micron-sized overdamped particles immersed in a viscous fluid. Here we…
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 consider the class of all the Hermite processes $(Z_{t}^{(q,H)})_{t\in \lbrack 0,1]}$ of order $q\in \mathbf{N}^{\ast}$ and with Hurst parameter $% H\in (\frac{1}{2},1)$. The process $Z^{(q,H)}$ is $H$-selfsimilar, it has stationary…
A natural non-Markovian extension of the theory of white noise quantum trajectories is presented. In order to introduce memory effects in the formalism an Ornstein-Uhlenbeck coloured noise is considered as the output driving process. Under…
Understanding the influence of realistic noise on quantum algorithms is paramount for the advancement of quantum computation. While often modeled as Markovian, environmental noise in quantum systems frequently exhibits temporal…
In this paper we consider an Ornstein-Uhlenbeck (OU) process $(M(t))_{t\geqslant 0}$ whose parameters are determined by an external Markov process $(X(t))_{t\geqslant 0}$ on a finite state space $\{1,\ldots,d\}$; this process is usually…
We study the asymptotic behavior of wavelet coefficients of random processes with long memory. These processes may be stationary or not and are obtained as the output of non--linear filter with Gaussian input. The wavelet coefficients that…
Statistical early warning signs can be used to identify an approaching bifurcation in stochastic dynamical systems and are now regularly employed in applications concerned with the identification of potential rapid, non-linear change or…
The multivariate Ornstein-Uhlenbeck process is used in many branches of science and engineering to describe the regression of a system to its stationary mean. Here we present an $O(N)$ Bayesian method to estimate the drift and diffusion…
We consider stationary processes with long memory which are non-Gaussian and represented as Hermite polynomials of a Gaussian process. We focus on the corresponding wavelet coefficients and study the asymptotic behavior of the sum of their…
The most known example of a class of non-Gaussian stochastic processes which belongs to the homogenous Wiener chaos of an arbitrary order N > 1 are probably Hermite processes of rank N. They generalize fractional Brownian motion (fBm) and…
This paper is concerned with exponential moments of integral-of-quadratic functions of quantum processes with canonical commutation relations of position-momentum type. Such quadratic-exponential functionals (QEFs) arise as robust…
The stochastic Hodgkin-Huxley neurons considered in this paper replace time-constant deterministic input $a dt$ of the classical deterministic model by increments $\vartheta dt + dX_t$ of a stochastic process: $X$ is Ornstein-Uhlenbeck with…
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…