Works matching DE "ORNSTEIN-Uhlenbeck process"

Results: 696

Analytic solutions for the value of the option to (dis)invest.

Published in:

R&D Management, 2001, v. 31, n. 2, doi. 10.1111/1467-9310.00205

By:

Biekpe, Nicholas;
Klumpes, Paul;
Tippett, Mark

Publication type:

Article

Regularity for semigroups of Ornstein-Uhlenbeck processes.

Published in:

Positivity, 2013, v. 17, n. 2, p. 205, doi. 10.1007/s11117-012-0158-8

By:

Wang, Jian

Publication type:

Article

Phase transition on the convergence rate of parameter estimation under an Ornstein-Uhlenbeck diffusion on a tree.

Published in:

Journal of Mathematical Biology, 2017, v. 74, n. 1/2, p. 355, doi. 10.1007/s00285-016-1029-x

By:

Ané, Cécile;
Ho, Lam;
Roch, Sebastien

Publication type:

Article

Robustness of movement models: can models bridge the gap between temporal scales of data sets and behavioural processes?

Published in:

Journal of Mathematical Biology, 2016, v. 73, n. 6/7, p. 1691, doi. 10.1007/s00285-016-1005-5

By:

Schlägel, Ulrike;
Lewis, Mark

Publication type:

Article

Sustained oscillations for density dependent Markov processes.

Published in:

Journal of Mathematical Biology, 2011, v. 63, n. 3, p. 433, doi. 10.1007/s00285-010-0376-2

By:

Baxendale, Peter H.;
Greenwood, Priscilla E.

Publication type:

Article

Rigorous conditions for food-web intervality in high-dimensional trophic niche spaces.

Published in:

Journal of Mathematical Biology, 2011, v. 63, n. 3, p. 575, doi. 10.1007/s00285-010-0383-3

By:

Brännström, Åke;
Carlsson, Linus;
Rossberg, Axel

Publication type:

Article

The time to extinction for a stochastic SIS-household-epidemic model.

Published in:

Journal of Mathematical Biology, 2010, v. 61, n. 6, p. 763, doi. 10.1007/s00285-009-0320-5

By:

Britton, Tom;
Neal, Peter

Publication type:

Article

Analyzing fish movement as a persistent turning walker.

Published in:

Journal of Mathematical Biology, 2009, v. 58, n. 3, p. 429, doi. 10.1007/s00285-008-0198-7

By:

Gautrais, Jacques;
Jost, Christian;
Soria, Marc;
Campo, Alexandre;
Motsch, Sébastien;
Fournier, Richard;
Blanco, Stéphane;
Theraulaz, Guy

Publication type:

Article

Prediction of predatorâprey populations modelled by perturbed ODEs.

Published in:

Journal of Mathematical Biology, 2007, v. 54, n. 3, p. 407, doi. 10.1007/s00285-006-0051-9

By:

Sorana Froda;
SÃ©vÃ©rien Nkurunziza

Publication type:

Article

Sharp frequency bounds for eigenfunctions of the Ornstein-Uhlenbeck operator.

Published in:

Calculus of Variations & Partial Differential Equations, 2018, v. 57, n. 5, p. 1, doi. 10.1007/s00526-018-1405-z

By:

Colding, Tobias Holck;
Minicozzi, William P.

Publication type:

Article

An Analytic Study of the Ornstein-Uhlenbeck Process with Time-Varying Coefficients in the Modeling of Anomalous Diffusions.

Published in:

Automation & Remote Control, 2018, v. 79, n. 2, p. 289, doi. 10.1134/S000511791802008X

By:

Palamarchuk, E. S.

Publication type:

Article

The identification problem for complex-valued Ornstein-Uhlenbeck operators in $$L^p(\mathbb {R}^d,\mathbb {C}^N)$$.

Published in:

Semigroup Forum, 2017, v. 95, n. 1, p. 13, doi. 10.1007/s00233-016-9804-y

By:

Otten, Denny

Publication type:

Article

Nonautonomous Ornstein-Uhlenbeck operators in weighted spaces of continuous functions.

Published in:

Semigroup Forum, 2013, v. 87, n. 3, p. 509, doi. 10.1007/s00233-013-9495-6

By:

Addona, Davide

Publication type:

Article

Psi-entropy inequalities for the Ornstein-Uhlenbeck semigroup.

Published in:

Semigroup Forum, 2012, v. 85, n. 2, p. 361, doi. 10.1007/s00233-012-9421-3

By:

Bentaleb, Abdellatif;
Fahlaoui, Saïd;
Hafidi, Ali

Publication type:

Article

Mehler semigroups, Ornstein-Uhlenbeck processes and background driving Lévy processes on locally compact groups and on hypergroups.

Published in:

Semigroup Forum, 2011, v. 83, n. 2, p. 214, doi. 10.1007/s00233-011-9310-1

By:

Hazod, Wilfried

Publication type:

Article

Positivity of Perturbed Ornstein-Uhlenbeck Semigroups on C<sub>b</sub>(H).

Published in:

Semigroup Forum, 2005, v. 70, n. 2, p. 208, doi. 10.1007/s00233-004-0167-4

By:

Es-Sarhir, Abdelhadi;
Farkas, Bálint;
Nagel, Rainer

Publication type:

Article

Perturbations of Bi-continuous Semigroups with Applications to Transition Semigroups on C[sub b](H).

Published in:

Semigroup Forum, 2004, v. 68, n. 1, p. 87, doi. 10.1007/s00233-002-0024-2

By:

Farkas, Bálint;
Nagel, Rainer

Publication type:

Article

Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process.

Published in:

Journal of Inequalities & Applications, 2018, v. 2018, n. 1, p. 1, doi. 10.1186/s13660-018-1951-0

By:

Shen, Guangjun;
Li, Yunmeng;
Gao, Zhenlong

Publication type:

Article

A new type of CEV model: properties, comparison, and application to portfolio optimization.

Published in:

Stochastic Models, 2025, v. 41, n. 1, p. 85, doi. 10.1080/15326349.2024.2327435

By:

Anel, Marcos Escobar;
Fan, Wei Li

Publication type:

Article

First passage time density of an Ornstein–Uhlenbeck process with broken drift.

Published in:

Stochastic Models, 2022, v. 38, n. 2, p. 308, doi. 10.1080/15326349.2022.2026790

By:

Ankirchner, Stefan;
Blanchet-Scalliet, Christophette;
Dorobantu, Diana;
Gay, Laura

Publication type:

Article

Model verification for Lévy-driven CARMA(2,1) processes.

Published in:

Stochastic Models, 2021, v. 37, n. 3, p. 517, doi. 10.1080/15326349.2021.1937224

By:

Abdlrazeq, Ibrahim;
Nguyen, Hieu

Publication type:

Article

Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift.

Published in:

Stochastic Models, 2020, v. 36, n. 4, p. 519, doi. 10.1080/15326349.2020.1758567

By:

Gabih, Abdelali;
Kondakji, Hakam;
Wunderlich, Ralf

Publication type:

Article

Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound.

Published in:

Stochastic Models, 2020, v. 36, n. 1, p. 1, doi. 10.1080/15326349.2019.1630287

By:

Nie, Yutian;
Linetsky, Vadim

Publication type:

Article

Unrestricted consumption under a deterministic wealth and an Ornstein-Uhlenbeck process as a discount rate.

Published in:

Stochastic Models, 2018, v. 34, n. 2, p. 139, doi. 10.1080/15326349.2017.1392867

By:

Eisenberg, Julia

Publication type:

Article

Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs.

Published in:

Stochastic Models, 2015, v. 31, n. 4, p. 554, doi. 10.1080/15326349.2015.1058717

By:

Leung, Tim;
Li, Xin;
Wang, Zheng

Publication type:

Article

On Transition and First Hitting Time Densities and Moments of the Ornstein–Uhlenbeck Process.

Published in:

Stochastic Models, 2014, v. 30, n. 2, p. 143, doi. 10.1080/15326349.2014.900376

By:

Veestraeten, Dirk

Publication type:

Article

First Passage Times to Congested States of Many-Server Systems in the Halfin–Whitt Regime.

Published in:

Stochastic Models, 2014, v. 30, n. 2, p. 162, doi. 10.1080/15326349.2014.900385

By:

Fralix, Brian;
Knessl, Charles;
van Leeuwaarden, Johan S.H.

Publication type:

Article

Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process.

Published in:

Stochastic Models, 2013, v. 29, n. 3, p. 291, doi. 10.1080/15326349.2013.808899

By:

Rifo, Laura;
Torres, Soledad;
Tudor, CiprianA.

Publication type:

Article

Localizable Moving Average Symmetric Stable and Multistable Processes.

Published in:

Stochastic Models, 2009, v. 25, n. 4, p. 648, doi. 10.1080/15326340903291321

By:

Falconer, KennethJ.;
Le Guével, Ronan;
Véhel, JacquesLévy

Publication type:

Article

On the Dependence Structure of Gaussian Queues.

Published in:

Stochastic Models, 2009, v. 25, n. 2, p. 221, doi. 10.1080/15326340902869887

By:

Es-Saghouani, Abdelghafour;
Mandjes, Michel

Publication type:

Article

Exit Times and Poisson Kernels of the Ornstein-Uhlenbeck Diffusion.

Published in:

Stochastic Models, 2008, v. 24, n. 2, p. 314, doi. 10.1080/15326340802009337

By:

Graczyk, P.;
Jakubowski, T.

Publication type:

Article

Short and Long Memory Fractional Ornstein-Uhlenbeck α-Stable Processes.

Published in:

Stochastic Models, 2007, v. 23, n. 3, p. 451, doi. 10.1080/15326340701471091

By:

Magdziarz, Marcin

Publication type:

Article

Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process 1.

Published in:

Stochastic Models, 2005, v. 21, n. 4, p. 967, doi. 10.1080/15326340500294702

By:

Alili, L.;
Patie, P.;
Pedersen, J. L.

Publication type:

Article

Filtering theory for an Ornstein-Uhlenbeck process driven power system dynamics.

Published in:

Control & Cybernetics, 2024, v. 53, n. 2, p. 355, doi. 10.2478/candc-2024-0015

By:

Hirpara, Ravish H.

Publication type:

Article

Estimates for Solutions to Fokker-Planck-Kolmogorov Equations with Integrable Drifts.

Published in:

Doklady Mathematics, 2018, v. 98, n. 3, p. 559, doi. 10.1134/S1064562418070074

By:

Bogachev, V. I.;
Shaposhnikov, A. V.;
Shaposhnikov, S. V.

Publication type:

Article

Biogeochemical niche conservatism relates to plant species diversification and life form evolution in a subtropical montane evergreen broad‐leaved forest.

Published in:

Ecology & Evolution (20457758), 2022, v. 12, n. 12, p. 1, doi. 10.1002/ece3.9587

By:

Bai, Kundong;
Zhou, Xuewen;
Lv, Shihong;
Wei, Shiguang;
Deng, Lili;
Tan, Yibo

Publication type:

Article

Experimental evidence that the Ornstein- Uhlenbeck model best describes the evolution of leaf litter decomposability.

Published in:

Ecology & Evolution (20457758), 2014, v. 4, n. 17, p. 3339, doi. 10.1002/ece3.1115

By:

Pan, Xu;
Cornelissen, Johannes H. C.;
Zhao, Wei‐Wei;
Liu, Guo‐Fang;
Hu, Yu‐Kun;
Prinzing, Andreas;
Dong, Ming;
Cornwell, William K.

Publication type:

Article

A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes.

Published in:

Journal of Industrial & Management Optimization, 2023, v. 19, n. 10, p. 1, doi. 10.3934/jimo.2023017

By:

Abid, Amira;
Abid, Fathi

Publication type:

Article

Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition.

Published in:

Journal of Industrial & Management Optimization, 2022, v. 18, n. 1, p. 75, doi. 10.3934/jimo.2020143

By:

Li, Yin;
Mao, Xuerong;
Song, Yazhi;
Tao, Jian

Publication type:

Article

Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk.

Published in:

Journal of Industrial & Management Optimization, 2022, v. 18, n. 1, p. 511, doi. 10.3934/jimo.2020166

By:

Yao, Haixiang;
Chen, Ping;
Zhang, Miao;
Li, Xun

Publication type:

Article

Optimal dividend of compound poisson process under a stochastic interest rate.

Published in:

Journal of Industrial & Management Optimization, 2020, v. 16, n. 5, p. 2141, doi. 10.3934/jimo.2019047

By:

Tian, Linlin;
Zhang, Xiaoyi;
Bai, Yizhou

Publication type:

Article

ON THE ESSENTIAL SELF-ADJOINTNESS OF ORNSTEIN-UHLENBECK OPERATORS PERTURBED BY INVERSE-SQUARE POTENTIALS.

Published in:

Discrete & Continuous Dynamical Systems - Series S, 2013, v. 6, n. 3, p. 649, doi. 10.3934/dcdss.2013.6.649

By:

DURANTE, TIZIANA;
RHANDI, ABDELAZIZ

Publication type:

Article

SCHAUDER ESTIMATES FOR SOME PERTURBATION OF AN INFINITE DIMENSIONAL ORNSTEIN--UHLENBECK OPERATOR.

Published in:

Discrete & Continuous Dynamical Systems - Series S, 2013, v. 6, n. 3, p. 637, doi. 10.3934/dcdss.2013.6.637

By:

PRATO, GIUSEPPE DA

Publication type:

Article

Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process.

Published in:

Scandinavian Actuarial Journal, 2023, v. 2023, n. 6, p. 565, doi. 10.1080/03461238.2022.2139631

By:

Dong, Xue;
Rong, Ximin;
Zhao, Hui

Publication type:

Article

DRIFT ESTIMATION OF THE THRESHOLD ORNSTEIN-UHLENBECK PROCESS FROM CONTINUOUS AND DISCRETE OBSERVATIONS.

Published in:

Statistica Sinica, 2024, v. 34, n. 1, p. 313, doi. 10.5705/ss.202021.0275

By:

Mazzonetto, Sara;
Pigato, Paolo

Publication type:

Article

TRUNCATED ESTIMATION METHOD AND APPLICATIONS.

Published in:

Serdica Mathematical Journal, 2017, v. 43, n. 3/4, p. 221

By:

Dogadova, Tatiana V.;
Kusainov, Marat I.;
Vasiliev, Vyacheslav A.

Publication type:

Article

Stochastic Theories and Deterministic Differential Equations.

Published in:

Advances in Mathematical Physics, 2010, p. 1, doi. 10.1155/2010/749306

By:

Moxnes, John F.;
Hausken, Kjell

Publication type:

Article

Introducing Randomness into First-Order and Second-Order Deterministic Differential Equations.

Published in:

Advances in Mathematical Physics, 2010, p. 1, doi. 10.1155/2010/509326

By:

Moxnes, John F.;
Hausken, Kjell

Publication type:

Article

The dynamics of tripartite quantum correlations under Ornstein–Uhlenbeck noise.

Published in:

Modern Physics Letters B, 2018, v. 32, n. 31, p. N.PAG, doi. 10.1142/S0217984918503815

By:

Yang, Jing;
Mu, Qi-Xiong;
Huang, Yan-Xia

Publication type:

Article

Fourier approach to goodness-of-fit tests for Gaussian random processes.

Published in:

Statistical Papers, 2024, v. 65, n. 5, p. 2937, doi. 10.1007/s00362-023-01510-4

By:

Čoupek, Petr;
Dolník, Viktor;
Hlávka, Zdeněk;
Hlubinka, Daniel

Publication type:

Article