相关论文: Ornstein-Uhlenbeck Processes on Lie Groups

Ito's construction of Markovian solutions to stochastic equations driven by a L\'evy noise is extended to nonlinear distribution dependent integrands aiming at the effective construction of linear and nonlinear Markov semigroups and the…

In this memoir we extend the theory of global pseudo-differential operators to the setting of arbitrary sub-Riemannian structures on a compact Lie group. More precisely, given a compact Lie group $G$, and the sub-Laplacian $\mathcal{L}$…

Superpositions of Ornstein-Uhlenbeck type (supOU) processes provide a rich class of stationary stochastic processes for which the marginal distribution and the dependence structure may be modeled independently. We show that they can also…

Consider a set of continuous maps from the interval $[0,1]$ to a domain in ${\mathbb R}^d$. Although the topological boundary of this set in the path space is not smooth in general, by using the theory of functions of bounded variation (BV…

We obtain explicit mean value formulas for the solutions of the diffusion equations associated with the Ornstein-Uhlenbeck and Hermite operators. From these, we derive various useful properties, such as maximum principles, uniqueness…

A stochastic process with self-interaction as a model of quantum field theory is studied. We consider an Ornstein-Uhlenbeck stochastic process x(t) with interaction of the form x^{(\alpha)}(t)^4, where $\alpha$ indicates the fractional…

We show that for any fixed $\theta\in(-\frac{\pi}{2},\,0)\cup (0,\,\frac{\pi}{2})$, the 1-dimensional complex Ornstein-Uhlenbeck operator \begin{equation*} \tilde{\mathcal{L}}_{\theta}= 4\cos\theta \frac{\partial^2}{\partial z\partial…

We deal with a complex-valued Ornstein-Uhlenbeck (OU) process with parameter $\lambda\in\mathbb{R}$starting from a point different from 0 and the way that it winds around the origin.The starting point of this paper is the skew product…

In this paper, we establish Liouville type results for semilinear subelliptic systems associated with the sub-Laplacian on the Heisenberg group $\mathbb{H}^{n}$ involving two different kinds of general nonlinearities. The main technique of…

We consider the Fourier-Laplace transforms of a broad class of polynomial Ornstein-Uhlenbeck (OU) volatility models, including the well-known Stein-Stein, Sch\"obel-Zhu, one-factor Bergomi, and the recently introduced Quintic OU models…

By using the existing sharp estimates of density function for rotationally invariant symmetric $\alpha$-stable L\'{e}vy processes and rotationally invariant symmetric truncated $\alpha$-stable L\'{e}vy processes, we obtain that Harnack…

In this paper, we consider an ergodic Ornstein-Uhlenbeck process with jumps driven by a Brownian motion and a compensated Poisson process, whose drift and diffusion coefficients as well as its jump intensity depend on unknown parameters.…

Starting from the notion of multivariate fractional Brownian Motion introduced in [F. Lavancier, A. Philippe, and D. Surgailis. Covariance function of vector self-similar processes. Statistics & Probability Letters, 2009] we define a…

In this paper the feasibility of funnel control techniques for the Fokker-Planck equation corresponding to a multi-dimensional Ornstein-Uhlenbeck process on an unbounded spatial domain is explored. First, using weighted Lebesgue and Sobolev…

We propose a generalization of the Ornstein-Uhlenbeck process in 1+1 dimensions which is the product of a temporal Ornstein-Uhlenbeck process with a spatial one and has exponentially decaying autocorrelation. The generalized Langevin…

We study the functional calculus associated with a hypoelliptic left-invariant differential operator $\mathcal{L}$ on a connected and simply connected nilpotent Lie group $G$ with the aid of the corresponding \emph{Rockland} operator…

We consider the parametric estimation of the Ornstein-Uhlenbeck process driven by a non-Gaussian $\alpha$-stable L\'{e}vy process with the stable index $\alpha>1$ and possibly skewed jumps, based on a discrete-time sample over a fixed…

We study the problem of sampling from a distribution $\mu$ with density $\propto e^{-V}$ for some potential function $V:\mathbb R^d\to \mathbb R$ with query access to $V$ and $\nabla V$. We start with the following standard assumptions: (1)…

We obtain global analytic hypoellipticity for a class of differential operators that can be expressed as a zero-order perturbation of a sum of squares of vector fields with real-analytic coefficients on compact Lie groups. The key…

In the present paper we study the asymptotic behavior of the auto-covariance function for Ornstein-Uhlenbeck (OU) processes driven by Gaussian noises with stationary and non-stationary increments and for Hermite OU processes. Our results…