The Least Squares Estimation for the α-Stable Ornstein-Uhlenbeck Process with Constant Drift
Sign Up to like & getrecommendations! Published in 2018 at "Methodology and Computing in Applied Probability"
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
Using the Ornstein-Uhlenbeck process to model the evolution of interacting populations.
Sign Up to like & getrecommendations! Published in 2017 at "Journal of theoretical biology"
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
Phase descriptions of a multidimensional Ornstein-Uhlenbeck process.
Sign Up to like & getrecommendations! Published in 2019 at "Physical review. E"
DOI: 10.1103/physreve.99.062221
Abstract: Stochastic oscillators play a prominent role in different fields of science. Their simplified description in terms of a phase has been advocated by different authors using distinct phase definitions in the stochastic case. One notion… read more here.
Keywords: uhlenbeck process; process; ornstein uhlenbeck; backward phase ... See more keywords
Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift
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DOI: 10.1142/s0219493721500271
Abstract: For the Ornstein–Uhlenbeck process in stationary and explosive cases, this paper studies Cramer-type moderate deviations for the log-likelihood ratio process. As an application, we give the negativ... read more here.
Keywords: uhlenbeck process; moderate deviations; likelihood ratio; ornstein uhlenbeck ... See more keywords
Alternative way to derive the distribution of the multivariate Ornstein–Uhlenbeck process
Sign Up to like & getrecommendations! Published in 2019 at "Advances in Difference Equations"
DOI: 10.1186/s13662-019-2214-1
Abstract: In this paper, we solve the Fokker–Planck equation of the multivariate Ornstein–Uhlenbeck process to obtain its probability density function. This approach allows us to ascertain the distribution without solving it analytically. We find that, at… read more here.
Keywords: multivariate ornstein; uhlenbeck process; multivariate; ornstein uhlenbeck ... See more keywords
An analytical approach for variance swaps with an Ornstein-Uhlenbeck process
Sign Up to like & getrecommendations! Published in 2017 at "Anziam Journal"
DOI: 10.21914/anziamj.v59i0.11489
Abstract: Pricing variance swaps have become a popular subject recently, and most research of this type come under Heston’s two-factor model. This paper is an extension of some recent research which used the dimension-reduction technique based… read more here.
Keywords: analytical approach; uhlenbeck process; ornstein uhlenbeck; variance swaps ... See more keywords