Harnack inequality for Ornstein–Uhlenbeck type operators
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DOI: 10.1007/s00013-019-01429-z
Abstract: We prove Harnack type inequalities for non-negative weak solutions in $$(0,T]\times \mathbb {R}^N$$ ( 0 , T ] × R N of parabolic problems related to operators of the type $$L=\hbox {div}\,\left( Q(t,x)\nabla \right) +\langle… read more here.
Keywords: harnack inequality; inequality ornstein; ornstein uhlenbeck; type operators ... See more keywords
Generalized Ornstein–Uhlenbeck operators perturbed by multipolar inverse square potentials in $$L^{2}$$-spaces
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DOI: 10.1007/s00013-021-01625-w
Abstract: It is shown that the Ornstein–Uhlenbeck operator perturbed by a multipolar inverse square potential $$\begin{aligned} A_{\Phi ,G}+V=\Delta -\nabla \Phi \cdot \nabla +G\cdot \nabla +\sum \limits _{i=1}^{n}\frac{c}{|x-a_{i}|^{2}} \end{aligned}$$ with suitable domain generates a quasi-contractive and positive… read more here.
Keywords: perturbed multipolar; ornstein uhlenbeck; multipolar inverse; inverse square ... See more keywords
On the maximal operator of a general Ornstein–Uhlenbeck semigroup
Sign Up to like & getrecommendations! Published in 2022 at "Mathematische Zeitschrift"
DOI: 10.1007/s00209-022-02986-w
Abstract: If Q is a real, symmetric and positive definite $$n\times n$$ n × n matrix, and B a real $$n\times n$$ n × n matrix whose eigenvalues have negative real parts, we consider the Ornstein–Uhlenbeck… read more here.
Keywords: operator general; ornstein uhlenbeck; uhlenbeck semigroup; maximal operator ... See more keywords
Least squares estimator for Ornstein–Uhlenbeck processes driven by fractional Lévy processes from discrete observations
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DOI: 10.1007/s00362-017-0918-4
Abstract: In this paper, we consider the problem of parameter estimation for Ornstein–Uhlenbeck processes with small fractional Lévy noises, based on discrete observations at n regularly spaced time points $$t_i=i/n,$$ti=i/n,$$i=1,\ldots ,n$$i=1,…,n on [0, 1]. Least squares method… read more here.
Keywords: least squares; discrete observations; uhlenbeck processes; ornstein uhlenbeck ... See more keywords
Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process
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DOI: 10.1007/s00780-019-00413-3
Abstract: We study the asymptotics of the ruin probability for a process which is the solution of a linear SDE defined by a pair of independent Lévy processes. Our main interest is a model describing the… read more here.
Keywords: generalised ornstein; driven generalised; ornstein uhlenbeck; ruin probabilities ... See more keywords
The Least Squares Estimation for the α-Stable Ornstein-Uhlenbeck Process with Constant Drift
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DOI: 10.1007/s11009-018-9654-z
Abstract: AbstractIn this paper, we consider the least squares estimators of the Ornstein-Uhlenbeck process with a constant drift dXt=(θ1−θ2Xt)dt+dZt$$dX_{t}=(\theta_{1}-\theta_{2}X_{t})dt+dZ_{t} $$with X0 = x0, where θ1, θ2 are two unknown parameters with θ2 > 0 and Z… read more here.
Keywords: uhlenbeck process; least squares; process constant; constant drift ... See more keywords
Drift estimation for a Lévy-driven Ornstein–Uhlenbeck process with heavy tails
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DOI: 10.1007/s11203-020-09210-8
Abstract: We consider the problem of estimation of the drift parameter of an ergodic Ornstein–Uhlenbeck type process driven by a Lévy process with heavy tails. The process is observed continuously on a long time interval [0, … read more here.
Keywords: process heavy; heavy tails; ornstein uhlenbeck; process ... See more keywords
How to test that a given process is an Ornstein–Uhlenbeck process
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DOI: 10.1007/s11203-020-09233-1
Abstract: We show asymptotic distributions of the residual process in Ornstein–Uhlenbeck model, when the model is true. These distributions are of Brownian motion and of Brownian bridge, depending on whether we estimate one parameter or two.… read more here.
Keywords: process; given process; process ornstein; ornstein uhlenbeck ... See more keywords
Estimation of all parameters in the fractional Ornstein–Uhlenbeck model under discrete observations
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DOI: 10.1007/s11203-020-09235-z
Abstract: Let the Ornstein–Uhlenbeck process $$(X_t)_{t\ge 0}$$ ( X t ) t ≥ 0 driven by a fractional Brownian motion $$B^{H }$$ B H described by $$dX_t = -\theta X_t dt + \sigma dB_t^{H }$$ d… read more here.
Keywords: estimation parameters; ornstein uhlenbeck; fractional ornstein; parameters fractional ... See more keywords
Ornstein-Uhlenbeck-Lévy Electricity Portfolios with Wind Energy Contracting
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DOI: 10.1007/s40866-018-0054-9
Abstract: To leverage the potential of integrating renewable sources into electricity portfolios the risk and cost trade-off of intermittency needs to be assessed. From the perspective of a Load Serving Entity (LSE), this work present the… read more here.
Keywords: wind energy; energy; uhlenbeck electricity; electricity portfolios ... See more keywords
Using the Ornstein-Uhlenbeck process to model the evolution of interacting populations.
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DOI: 10.1016/j.jtbi.2017.06.011
Abstract: The Ornstein-Uhlenbeck (OU) process plays a major role in the analysis of the evolution of phenotypic traits along phylogenies. The standard OU process includes random perturbations and stabilizing selection and assumes that species evolve independently.… read more here.
Keywords: evolution; uhlenbeck process; ornstein uhlenbeck; process ... See more keywords