Works about ORNSTEIN-Uhlenbeck process
Results: 670
Inference in Infinite Superpositions of Non-Gaussian Ornstein–Uhlenbeck Processes Using Bayesian Nonparametic Methods.
- Published in:
- Journal of Financial Econometrics, 2011, v. 9, n. 3, p. 519, doi. 10.1093/jjfinec/nbq027
- By:
- Publication type:
- Article
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations.
- Published in:
- Journal of Financial Econometrics, 2007, v. 5, n. 3, p. 390, doi. 10.1093/jjfinec/nbm009
- By:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- Publication type:
- Article
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models.
- Published in:
- Computational Economics, 2018, v. 51, n. 3, p. 339, doi. 10.1007/s10614-016-9599-7
- By:
- Publication type:
- Article
Consumption Utility-Based Pricing and Timing of the Option to Invest with Partial Information.
- Published in:
- Computational Economics, 2012, v. 39, n. 2, p. 195, doi. 10.1007/s10614-011-9289-4
- By:
- Publication type:
- Article
Global L estimates for degenerate Ornstein-Uhlenbeck operators.
- Published in:
- Mathematische Zeitschrift, 2010, v. 266, n. 4, p. 789, doi. 10.1007/s00209-009-0599-3
- By:
- Publication type:
- Article
Existence and Internal Structure of the Deterministic Attracting Set for a Random Ant Colonies Model.
- Published in:
- Fluctuation & Noise Letters, 2024, v. 23, n. 1, p. 1, doi. 10.1142/S0219477524500068
- By:
- Publication type:
- Article
The Level-Crossing Problem: First-Passage, Escape and Extremes.
- Published in:
- Fluctuation & Noise Letters, 2014, v. 13, n. 4, p. 1, doi. 10.1142/S0219477514300018
- By:
- Publication type:
- Article
SOME EVOLUTION EQUATIONS FOR AN ORNSTEIN-UHLENBECK PROCESS-DRIVEN DYNAMICAL SYSTEM.
- Published in:
- Fluctuation & Noise Letters, 2012, v. 11, n. 4, p. -1, doi. 10.1142/S0219477512500204
- By:
- Publication type:
- Article
SPATIAL ROTATION DRIVEN BY RANDOM ANGULAR VELOCITY (COLORED NOISE).
- Published in:
- Fluctuation & Noise Letters, 2005, v. 5, n. 4, p. L499, doi. 10.1142/S0219477505002938
- By:
- Publication type:
- Article
Mean curvature self-shrinkers of high genus: Non-compact examples.
- Published in:
- Journal für die Reine und Angewandte Mathematik, 2018, v. 2018, n. 739, p. 1, doi. 10.1515/crelle-2015-0050
- By:
- Publication type:
- Article
Some integral equations related to random Gaussian processes.
- Published in:
- Theoretical & Mathematical Physics, 2010, v. 164, n. 2, p. 992, doi. 10.1007/s11232-010-0079-2
- By:
- Publication type:
- Article
Stochastic Perturbations of Line Solitons of KP.
- Published in:
- Theoretical & Mathematical Physics, 2003, v. 137, n. 3, p. 1753, doi. 10.1023/B:TAMP.0000007923.53436.e4
- By:
- Publication type:
- Article
A stochastic Gilpin-Ayala nonautonomous competition model driven by mean-reverting OU process with finite Markov chain and Lévy jumps.
- Published in:
- Electronic Research Archive, 2024, v. 31, n. 3, p. 1, doi. 10.3934/era.2024086
- By:
- Publication type:
- Article
Analysis of a stochastic Leslie-Gower predator-prey system with Beddington-DeAngelis and Ornstein–Uhlenbeck process.
- Published in:
- Electronic Research Archive, 2024, v. 32, n. 1, p. 1, doi. 10.3934/era.2024018
- By:
- 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:
- Publication type:
- Article
Dynamical Behaviors of a Stochastic Susceptible-Infected-Treated-Recovered-Susceptible Cholera Model with Ornstein-Uhlenbeck Process.
- Published in:
- Mathematics (2227-7390), 2024, v. 12, n. 14, p. 2163, doi. 10.3390/math12142163
- By:
- Publication type:
- Article
Epidemic Waves in a Stochastic SIRVI Epidemic Model Incorporating the Ornstein–Uhlenbeck Process.
- Published in:
- Mathematics (2227-7390), 2023, v. 11, n. 18, p. 3876, doi. 10.3390/math11183876
- By:
- Publication type:
- Article
Ornstein–Uhlenbeck Process on Three-Dimensional Comb under Stochastic Resetting.
- Published in:
- Mathematics (2227-7390), 2023, v. 11, n. 16, p. 3576, doi. 10.3390/math11163576
- By:
- Publication type:
- Article
Optimal Strategy of the Dynamic Mean-Variance Problem for Pairs Trading under a Fast Mean-Reverting Stochastic Volatility Model.
- Published in:
- Mathematics (2227-7390), 2023, v. 11, n. 9, p. 2191, doi. 10.3390/math11092191
- By:
- 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:
- 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:
- Publication type:
- Article
RADIAL SELFSIMILAR SOLUTIONS OF A NONLINEAR ORNSTEIN-UHLENBECK EQUATION.
- Published in:
- Electronic Journal of Differential Equations, 2007, v. 2007, p. 1
- By:
- 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:
- 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:
- 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:
- 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:
- 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:
- 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:
- Publication type:
- Article
KINETIC LIMIT FOR A HARMONIC CHAIN WITH A CONSERVATIVE ORNSTEIN-UHLENBECK STOCHASTIC PERTURBATION.
- Published in:
- Kinetic & Related Models, 2018, v. 11, n. 2, p. 239, doi. 10.3934/krm.2018013
- By:
- Publication type:
- Article
John Kent's contribution to the Discussion of the 'Discussion Meeting on Probabilistic and statistical aspects of machine learning'.
- Published in:
- 2024
- By:
- Publication type:
- Proceeding
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics.
- Published in:
- Journal of the Royal Statistical Society: Series B (Statistical Methodology), 2001, v. 63, n. 2, p. 167, doi. 10.1111/1467-9868.00282
- By:
- Publication type:
- Article