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
Works about ORNSTEIN-Uhlenbeck process
Results: 699
1
2
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
3
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
4
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
5
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
6
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
7
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
8
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
9
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
10
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
11
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
12
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
13
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
14
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
15
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
16
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
17
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
18
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
19
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
20
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:
- Publication type:
- Article
21
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:
- Publication type:
- Article
22
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:
- Publication type:
- Article
23
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:
- Publication type:
- Article
24
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:
- Publication type:
- Article
25
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:
- Publication type:
- Article
26
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:
- Publication type:
- Article
27
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:
- Publication type:
- Article
28
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:
- Publication type:
- Article
29
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:
- Publication type:
- Article
30
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:
- Publication type:
- Article
31
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:
- Publication type:
- Article
32
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:
- Publication type:
- Article
33
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:
- Publication type:
- Article
34
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:
- Publication type:
- Article
35
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:
- Publication type:
- Article
36
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
37
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:
- Publication type:
- Article
38
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
39
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
40
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:
- Publication type:
- Article
41
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:
- Publication type:
- Article
42
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:
- Publication type:
- Article
43
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:
- Publication type:
- Article
44
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:
- Publication type:
- Article
45
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:
- Publication type:
- Article
46
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
47
Estimation of physical intensity models for default risk.
- Published in:
- Journal of Futures Markets, 2009, v. 29, n. 2, p. 95, doi. 10.1002/fut.20353
- By:
- Publication type:
- Article
48
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:
- Publication type:
- Article
49
Big jump principle for heavy-tailed random walks with correlated increments.
- Published in:
- European Physical Journal B: Condensed Matter, 2021, v. 94, n. 10, p. 1, doi. 10.1140/epjb/s10051-021-00215-7
- By:
- Publication type:
- Article
50
Self-organizing neuromorphic nanowire networks as stochastic dynamical systems.
- Published in:
- Nature Communications, 2025, v. 16, n. 1, p. 1, doi. 10.1038/s41467-025-58741-2
- By:
- Publication type:
- Article