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Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 11/2018, Volume 509, pp. 921 - 936
In this paper, based on the results of Gray et al. (2011), we propose a new SDE SIS model incorporating mean-reverting Ornstein–Uhlenbeck process, and prove... 
Persistence | Intensity of volatility | Speed of reversion | Ornstein–Uhlenbeck process | Stochastic basic reproduction number | Extinction | Ornstein-Uhlenbeck process | PHYSICS, MULTIDISCIPLINARY | BEHAVIOR | STATIONARY DISTRIBUTION | ENVIRONMENTAL VARIABILITY | DYNAMICS | Epidemics | Models | Disease transmission | Analysis | Differential equations
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 03/2018, Volume 494, pp. 265 - 275
We find a representation of the integral of the stationary Ornstein–Uhlenbeck (ISOU) process in terms of Brownian motion ; moreover, we show that, under... 
Gauss–Markov process | Double integral process | Ornstein–Uhlenbeck process | BROWNIAN-MOTION | Ornstein-Uhlenbeck process | PHYSICS, MULTIDISCIPLINARY | 1ST HITTING TIME | ADAPTATION | SPIKE TRAIN | MODEL | Gauss-Markov process
Journal Article
Stochastic Processes and their Applications, ISSN 0304-4149, 04/2019, Volume 129, Issue 4, pp. 1443 - 1454
This work concerns the Ornstein–Uhlenbeck type process associated to a positive self-similar Markov process which drifts to , namely . We point out that is... 
Stationarity | Ornstein–Uhlenbeck type process | Self-similar Markov process | Darling–Kac theorem | Lévy process | Exponential functional | SIMILAR MARKOV-PROCESSES | Darling-Kac theorem | Levy process | CONVERGENCE | STATISTICS & PROBABILITY | DRIVEN | Ornstein-Uhlenbeck type process | EXPONENTIAL FUNCTIONALS | Markov processes
Journal Article
Indagationes Mathematicae, ISSN 0019-3577, 09/2019, Volume 30, Issue 5, pp. 796 - 804
We demonstrate that two Ornstein–Uhlenbeck processes, that is, solutions to certain stochastic differential equations that are driven by a Lévy process have... 
Lévy–itô decomposition | Wiener process | Ornstein–Uhlenbeck process | SDE | Girsanov’s theorem | Lévy process | SPACE | MATHEMATICS | Ornstein-Uhlenbeck process | Levy process | Levy-ito decomposition | Girsanov's theorem | Laws, regulations and rules | Differential equations
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 02/2018, Volume 492, pp. 790 - 803
This paper studies Langevin equation with random damping due to multiplicative noise and its solution. Two types of multiplicative noise, namely the... 
Dichotomous noise | Multiplicative noise | Ornstein–Uhlenbeck process | Fractional Gaussian noise | Langevin equation | BROWNIAN-MOTION | MOMENT INSTABILITIES | Ornstein-Uhlenbeck process | HARMONIC-OSCILLATOR | PHYSICS, MULTIDISCIPLINARY | PARAMETERS | STOCHASTIC-FREQUENCY | KINETICS | GROWTH | SYSTEMS | DIFFUSION
Journal Article
Chaos, Solitons and Fractals: the interdisciplinary journal of Nonlinear Science, and Nonequilibrium and Complex Phenomena, ISSN 0960-0779, 08/2018, Volume 113, pp. 314 - 325
Journal Article
Applied Mathematics Letters, ISSN 0893-9659, 09/2013, Volume 26, Issue 9, pp. 957 - 962
By a simple mathematical method, we obtain the transition probability density functions of the Ornstein–Uhlenbeck process, Cauchy process, and... 
Ornstein–Uhlenbeck–Cauchy process | Transition probability density | Cauchy process | Ornstein–Uhlenbeck process | Ornstein-Uhlenbeck process | Ornstein-Uhlenbeck-Cauchy process | MATHEMATICS, APPLIED
Journal Article
Journal of Physics A: Mathematical and Theoretical, ISSN 1751-8113, 04/2015, Volume 48, Issue 13, pp. 135004 - 18
The Ornstein-Uhlenbeck process is one of the most popular systems used for financial data description. However, this process has also been examined in the... 
Subordination | Covariance | Fractional Fokker-Planck equation | Ornstein-Uhlenbeck process | Functions (mathematics) | Simulation | Mathematical analysis | Finance | Mathematical models | Inverse | Biology
Journal Article
Journal of Multivariate Analysis, ISSN 0047-259X, 01/2019, Volume 169, pp. 1 - 20
Given the observation of a high-dimensional Ornstein–Uhlenbeck (OU) process in continuous time, we are interested in inference on the drift parameter under a... 
High-dimensional statistics | Ornstein–Uhlenbeck process | Sparse estimation | Lasso | STATISTICS & PROBABILITY | Ornstein-Uhlenbeck process | SELECTION
Journal Article
Computers and Mathematics with Applications, ISSN 0898-1221, 02/2018, Volume 75, Issue 3, pp. 1044 - 1059
This paper means to price weather derivatives through solving the Partial Differential Equation (PDE) of the Ornstein–Uhlenbeck process. Since the PDE is... 
PDE | Ornstein–Uhlenbeck process | Convection–diffusion | Jump condition | Weather derivative | MATHEMATICS, APPLIED | Ornstein-Uhlenbeck process | Convection-diffusion | DIFFUSION | Monte Carlo method | Aquatic resources | Pricing | Differential equations
Journal Article
Stochastic Processes and their Applications, ISSN 0304-4149, 09/2018, Volume 128, Issue 9, pp. 2979 - 3005
Journal Article
Journal of the Korean Statistical Society, ISSN 1226-3192, 09/2016, Volume 45, Issue 3, pp. 329 - 341
The statistical analysis for equations driven by fractional Gaussian process (fGp) is relatively recent. The development of stochastic calculus with respect to... 
Parameter estimation | Non-ergodic Gaussian Ornstein–Uhlenbeck process | Non-ergodic Gaussian Ornstein-Uhlenbeck process | STATISTICS & PROBABILITY | Brownian motion | Models | Analysis | Gaussian processes | Least squares | Probability | Mathematics | 통계학
Journal Article
JOURNAL OF PHYSICS A-MATHEMATICAL AND THEORETICAL, ISSN 1751-8113, 04/2015, Volume 48, Issue 13
The Ornstein-Uhlenbeck process is one of the most popular systems used for financial data description. However, this process has also been examined in the... 
Ornstein-Uhlenbeck process | PHYSICS, MULTIDISCIPLINARY | FRACTIONAL BROWNIAN-MOTION | PEARSON DIFFUSIONS | covariance | MODEL | PHYSICS, MATHEMATICAL | fractional Fokker-Planck equation | ANOMALOUS DIFFUSION | RANDOM-WALKS | DYNAMICS | PLANCK-KOLMOGOROV EQUATIONS | FINANCIAL DATA | subordination
Journal Article
AMERICAN NATURALIST, ISSN 0003-0147, 08/2017, Volume 190, Issue S1, pp. S13 - S28
Journal Article
Applied Mathematics and Computation, ISSN 0096-3003, 02/2020, Volume 366, p. 124734
The exact pathwise simulation of multidimensional Ornstein–Uhlenbeck processes is considered. We propose two procedures that allow the exact pathwise... 
Pathwise simulation | Stochastic differential equations | Ornstein–Uhlenbeck process | Exact simulation | MATHEMATICS, APPLIED | Ornstein-Uhlenbeck process | DRIVEN | MODEL
Journal Article
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