Works matching DE "ORNSTEIN-Uhlenbeck process"

Results: 703

Weak persistence and extinction of a stochastic epidemic model with distributed delay and Ornstein-Uhlenbeck process.

Published in:

Advances in Continuous & Discrete Models, 2025, v. 2025, n. 1, p. 1, doi. 10.1186/s13662-025-03972-2

By:

Sun, Yanyang;
Liu, Chao;
Cheung, Lora

Publication type:

Article

Dynamical behaviors of a stochastic SIRB model for cholera with general infection dynamics and Ornstein-Uhlenbeck process.

Published in:

Nonlinear Dynamics, 2025, v. 113, n. 16, p. 22043, doi. 10.1007/s11071-025-11227-8

By:

Tian, Shuo;
Zhou, Yaxin;
Jiang, Daqing

Publication type:

Article

Creating Tail Dependence by Rough Stochastic Correlation Satisfying a Fractional SDE; An Application in Finance.

Published in:

Mathematics (2227-7390), 2025, v. 13, n. 13, p. 2072, doi. 10.3390/math13132072

By:

Márkus, László;
Kumar, Ashish;
Darougi, Amina

Publication type:

Article

Regulation of leaf elemental composition in a subtropical river basin with diverse forest landscapes.

Published in:

Plant & Soil, 2025, v. 511, n. 1, p. 1065, doi. 10.1007/s11104-024-07039-1

By:

Bai, Kundong;
Li, Wenjun;
Lv, Shihong;
Wei, Shiguang;
Xu, Xueqing

Publication type:

Article

Kac-Ornstein-Uhlenbeck Processes: Stationary Distributions and Exponential Functionals.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 4, p. 2703, doi. 10.1007/s11009-022-09956-z

By:

Ratanov, Nikita

Publication type:

Article

The Computational Cost of Blocking for Sampling Discretely Observed Diffusions.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 4, p. 3007, doi. 10.1007/s11009-022-09949-y

By:

Mider, Marcin;
Jenkins, Paul A.;
Pollock, Murray;
Roberts, Gareth O.

Publication type:

Article

Optimal Mean-Variance Investment-Reinsurance Strategy for a Dependent Risk Model with Ornstein-Uhlenbeck Process.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 1169, doi. 10.1007/s11009-021-09902-5

By:

Tian, Yingxu;
Sun, Zhongyang;
Guo, Junyi

Publication type:

Article

Sequential Maximum Likelihood Estimation for the Squared Radial Ornstein-Uhlenbeck Process.

Published in:

Methodology & Computing in Applied Probability, 2021, v. 23, n. 4, p. 1409, doi. 10.1007/s11009-020-09821-x

By:

Xie, Huantian;
Kuang, Nenghui

Publication type:

Article

Ornstein-Uhlenbeck Processes of Bounded Variation.

Published in:

Methodology & Computing in Applied Probability, 2021, v. 23, n. 3, p. 925, doi. 10.1007/s11009-020-09794-x

By:

Ratanov, Nikita

Publication type:

Article

The Least Squares Estimation for the α-Stable Ornstein-Uhlenbeck Process with Constant Drift.

Published in:

Methodology & Computing in Applied Probability, 2019, v. 21, n. 4, p. 1165, doi. 10.1007/s11009-018-9654-z

By:

Pan, Yurong;
Yan, Litan

Publication type:

Article

Asymptotics of Two-boundary First-exit-time Densities for Gauss-Markov Processes.

Published in:

Methodology & Computing in Applied Probability, 2019, v. 21, n. 3, p. 735, doi. 10.1007/s11009-018-9617-4

By:

D'Onofrio, G.;
Pirozzi, E.

Publication type:

Article

Approximating Time to Extinction for Endemic Infection Models.

Published in:

Methodology & Computing in Applied Probability, 2018, v. 20, n. 4, p. 1043, doi. 10.1007/s11009-018-9621-8

By:

Clancy, Damian;
Tjia, Elliott

Publication type:

Article

A Functional Central Limit Theorem for a Markov-Modulated Infinite-Server Queue.

Published in:

Methodology & Computing in Applied Probability, 2016, v. 18, n. 1, p. 153, doi. 10.1007/s11009-014-9405-8

By:

Anderson, D.;
Blom, J.;
Mandjes, M.;
Thorsdottir, H.;
Turck, K.

Publication type:

Article

Discrete-Time Approximation of Functionals in Models of Ornstein-Uhlenbeck Type, with Applications to Finance.

Published in:

Methodology & Computing in Applied Probability, 2015, v. 17, n. 2, p. 285, doi. 10.1007/s11009-013-9351-x

By:

Schröder, Michael

Publication type:

Article

The Supremum of Chi-Square Processes.

Published in:

Methodology & Computing in Applied Probability, 2014, v. 16, n. 3, p. 715, doi. 10.1007/s11009-013-9331-1

By:

Rabier, Charles-Elie;
Genz, Alan

Publication type:

Article

Transition Law-based Simulation of Generalized Inverse Gaussian Ornstein-Uhlenbeck Processes.

Published in:

Methodology & Computing in Applied Probability, 2011, v. 13, n. 3, p. 619, doi. 10.1007/s11009-010-9179-6

By:

Zhang, Shibin

Publication type:

Article

Numerical Evaluation of Dynamic Behavior of Ornstein-Uhlenbeck Processes Modified by Various Boundaries and its Application to Pricing Barrier Options.

Published in:

Methodology & Computing in Applied Probability, 2011, v. 13, n. 1, p. 193, doi. 10.1007/s11009-009-9152-4

By:

Gotoh, Jun-ya;
Jin, Hui;
Sumita, Ushio

Publication type:

Article

Uniform Rate of Weak Convergence of the Minimum Contrast Estimator in the Ornstein–Uhlenbeck Process.

Published in:

Methodology & Computing in Applied Probability, 2010, v. 12, n. 3, p. 323, doi. 10.1007/s11009-008-9099-x

By:

Bishwal, Jaya P. N.

Publication type:

Article

Exact Simulation of IG-OU Processes.

Published in:

Methodology & Computing in Applied Probability, 2008, v. 10, n. 3, p. 337, doi. 10.1007/s11009-007-9056-0

By:

Shibin Zhang;
Xinsheng Zhang

Publication type:

Article

Cox Point Processes Driven by Ornstein–Uhlenbeck Type Processes.

Published in:

Methodology & Computing in Applied Probability, 2008, v. 10, n. 3, p. 315, doi. 10.1007/s11009-007-9055-1

By:

Lechnerová, R.;
Helisová, K.;
Beneš, V.

Publication type:

Article

Brownian Motion and Ornstein–Uhlenbeck Processes in Planar Shape Space.

Published in:

Methodology & Computing in Applied Probability, 2008, v. 10, n. 1, p. 1, doi. 10.1007/s11009-007-9042-6

By:

Ball, Frank G.;
Dryden, Ian L.;
Golalizadeh, Mousa

Publication type:

Article

Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes.

Published in:

Methodology & Computing in Applied Probability, 2005, v. 7, n. 3, p. 335, doi. 10.1007/s11009-005-4521-0

By:

Barndorff-Nielsen, O.;
Leonenko, N.

Publication type:

Article

Almost Sure Comparisons for First Passage Times of Diffusion Processes through Boundaries.

Published in:

Methodology & Computing in Applied Probability, 2004, v. 6, n. 3, p. 323, doi. 10.1023/B:MCAP.0000026563.27820.ff

By:

Sacerdote, L.;
Smith, C. E.

Publication type:

Article

The faithful copy neuron.

Published in:

Journal of Computational Neuroscience, 2012, v. 32, n. 3, p. 377, doi. 10.1007/s10827-011-0356-6

By:

Sirovich, Lawrence

Publication type:

Article

Motoneuron membrane potentials follow a time inhomogeneous jump diffusion process.

Published in:

Journal of Computational Neuroscience, 2011, v. 31, n. 3, p. 563, doi. 10.1007/s10827-011-0326-z

By:

Jahn, Patrick;
Berg, Rune;
Hounsgaard, Jørn;
Ditlevsen, Susanne

Publication type:

Article

A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information.

Published in:

Asia-Pacific Financial Markets, 2014, v. 21, n. 2, p. 151, doi. 10.1007/s10690-014-9182-y

By:

Kato, Takashi;
Sekine, Jun;
Yamamoto, Hiromitsu

Publication type:

Article

The Pricing Formula for Commodity-Linked Bonds with Stochastic Convenience Yields and Default Risk.

Published in:

Asia-Pacific Financial Markets, 1998, v. 5, n. 2, p. 129, doi. 10.1023/A:1010034115552

By:

Miura, Ryozo;
Yamauchi, Hiroaki

Publication type:

Article

Modeling probability density functions of velocity fluctuations in wind farms.

Published in:

Wind Energy, 2022, v. 25, n. 6, p. 985, doi. 10.1002/we.2707

By:

Kreienkamp, Kim L.;
Wilczek, Michael

Publication type:

Article

Homogenization of Ornstein-Uhlenbeck Process in Random Environment.

Published in:

Communications in Mathematical Physics, 2006, v. 266, n. 3, p. 699, doi. 10.1007/s00220-006-0046-9

By:

Benabou, Gaël

Publication type:

Article

On the Asymptotic Behavior of an Ornstein-Uhlenbeck Process with Random Forcing.

Published in:

Communications in Mathematical Physics, 2006, v. 261, n. 2, p. 517, doi. 10.1007/s00220-005-1453-z

By:

Komorowski, T.;
Krupa, G.

Publication type:

Article

Equilibrium Fluctuations for Interacting Ornstein-Uhlenbeck Particles.

Published in:

Communications in Mathematical Physics, 2003, v. 233, n. 3, p. 463, doi. 10.1007/s00220-002-0761-9

By:

Olla, Stefano;
Tremoulet, Christel

Publication type:

Article

Hyperbolic Ornstein-Uhlenbeck Process.

Published in:

Journal of Mathematical Sciences, 2016, v. 219, n. 5, p. 631, doi. 10.1007/s10958-016-3135-0

By:

Borodin, A.

Publication type:

Article

Probability distribution of an integral quadratic functional on the trajectories of a complex-valued Ornstein-Uhlenbeck process.

Published in:

Cybernetics & Systems Analysis, 2004, v. 40, n. 6, p. 899

By:

Yu. P. Virchenko;
A. S. Mazmanishvili

Publication type:

Article

Asymptotic Optimality of the Speed-Aware Join-the-Shortest-Queue in the Halfin-Whitt Regime for Heterogeneous Systems.

Published in:

Stochastic Systems, 2025, v. 15, n. 2, p. 147, doi. 10.1287/stsy.2023.0054

By:

Bhambay, Sanidhay;
Büke, Burak;
Mukhopadhyay, Arpan

Publication type:

Article

A Blood Bank Model with Perishable Blood and Demand Impatience.

Published in:

Stochastic Systems, 2017, v. 7, n. 2, p. 237, doi. 10.1287/stsy.2017.0001

By:

Bar-Lev, Shaul K.;
Boxma, Onno;
Mathijsen, Britt;
Perry, David

Publication type:

Article

Diffusion Models for Double-Ended Queues with Renewal Arrival Processes.

Published in:

Stochastic Systems, 2015, v. 5, n. 1, p. 1, doi. 10.1287/13-SSY113

By:

Liu, Xin;
Gong, Qi;
Kulkarni, Vidyadhar G.

Publication type:

Article

Spectral Gap of the Erlang A Model in the Halfin-Whitt Regime.

Published in:

Stochastic Systems, 2012, v. 2, n. 1, p. 149, doi. 10.1287/10-SSY012

By:

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

Publication type:

Article

DIFFUSION PROCESS WITH EVOLUTION AND ITS PARAMETER ESTIMATION.

Published in:

Cybernetics & Systems Analysis / Kibernetiki i Sistemnyj Analiz, 2020, v. 56, n. 5, p. 55

By:

KOROLIUK, V. S.;
KOROLIOUK, D.;
DOVGYI, S. O.

Publication type:

Article

A quantitative test of the thermogenesis hypothesis of cetacean brain evolution, using phylogenetic comparative methods.

Published in:

Marine & Freshwater Behaviour & Physiology, 2009, v. 42, n. 1, p. 1, doi. 10.1080/10236240902761656

By:

Maximino, Caio

Publication type:

Article

Boundedness of Littlewood-Paley Operators Associated with Gauss Measures.

Published in:

Journal of Inequalities & Applications, 2010, v. 2010, p. 1, doi. 10.1155/2010/643948

By:

Liguang Liu;
Dachun Yang

Publication type:

Article

Robust parameter estimation for the Ornstein–Uhlenbeck process.

Published in:

Statistical Methods & Applications, 2012, v. 21, n. 4, p. 411, doi. 10.1007/s10260-012-0195-2

By:

Rieder, Sonja

Publication type:

Article

On the First-Passage Time Problem for a Feller-Type Diffusion Process.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 19, p. 2470, doi. 10.3390/math9192470

By:

Giorno, Virginia;
Nobile, Amelia G.

Publication type:

Article

Jump-Diffusion Models for Valuing the Future: Discounting under Extreme Situations.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 14, p. 1589, doi. 10.3390/math9141589

By:

Masoliver, Jaume;
Montero, Miquel;
Perelló, Josep

Publication type:

Article

On the Simulation of a Special Class of Time-Inhomogeneous Diffusion Processes.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 8, p. 818, doi. 10.3390/math9080818

By:

Giorno, Virginia;
Nobile, Amelia G.;
Scapellato, Andrea

Publication type:

Article

Modelling of Fuel- and Energy-Switching Prices by Mean-Reverting Processes and Their Applications to Alberta Energy Markets.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 7, p. 709, doi. 10.3390/math9070709

By:

Lu, Weiliang;
Arrigoni, Alexis;
Swishchuk, Anatoliy;
Goutte, Stéphane;
Vassiliou, Panagiotis-Christos;
Ferreira, Manuel Alberto M.

Publication type:

Article

Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 5, p. 528, doi. 10.3390/math9050528

By:

Zhu, Qinwen;
Loeper, Grégoire;
Chen, Wen;
Langrené, Nicolas;
Alòs, Elisa

Publication type:

Article

Least-Squares Estimators of Drift Parameter for Discretely Observed Fractional Ornstein–Uhlenbeck Processes.

Published in:

Mathematics (2227-7390), 2020, v. 8, n. 5, p. 716, doi. 10.3390/math8050716

By:

Kříž, Pavel;
Szała, Leszek

Publication type:

Article

On the Integral of the Fractional Brownian Motion and Some Pseudo-Fractional Gaussian Processes.

Published in:

Mathematics (2227-7390), 2019, v. 7, n. 10, p. 991, doi. 10.3390/math7100991

By:

Abundo, Mario;
Pirozzi, Enrica

Publication type:

Article

Exploring Mean Reversion Dynamics in Financial Markets: Insights from Hurst Exponent Analysis.

Published in:

Indonesian Capital Market Review, 2024, v. 16, n. 2, p. 86

By:

Hasan, Shifa

Publication type:

Article

Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing.

Published in:

Malaysian Journal of Mathematical Sciences, 2022, v. 16, n. 2, p. 273, doi. 10.47836/mjms.16.2.07

By:

Darus, M.;
Taib, C. M. I. C.

Publication type:

Article