搜索结果: 1-6 共查到“Ornstein-Uhlenbeck process”相关记录6条 . 查询时间(0.447 秒)
Properties of the Reflected Ornstein-Uhlenbeck Process
diffusion approximation Ornstein–Uhlenbeck process refl ecting diffusion steady-state
2015/7/8
Consider an Ornstein–Uhlenbeck process with reflection at the origin. Such a process arises as an approximating process both for queueing systems with reneging or state-dependent balking and for multi...
A class of nonlinear random walks related to the Ornstein-Uhlenbeck process
Mathematical Physics Probability nonlinear random walks the Ornstein-Uhlenbeck process
2011/8/25
Abstract: Contrary to the theory of Markov processes, no general theory exists for the so called nonlinear Markov processes. We study an example of "nonlinear Markov process" related to classical prob...
Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges
Sample path deviations Wiener Ornstein-Uhlenbeck process
2010/11/9
We study sample path deviations of the Wiener process from three different representations of its bridge: anticipative version, integral representation and space-time transform. Although these repres...
The Ornstein-Uhlenbeck process associated with the Levy Laplacian and its Dirichlet form
The Ornstein-Uhlenbeck process the Levy Laplacian Dirichlet form
2009/9/22
We prove the existence of an Omstein-Uhlenbeck type
process associated with the Evy Laplacian. Like the classical case, the
law of the Levy Brownian motion at time 1 is an invariant probability
of ...
Two-sided exit problem for a Spectrally Negative α-Stable Ornstein-Uhlenbeck Process and the Wright's generalized hypergeometric functions
Ornstein-Uhlenbeck Process deduce generalized hypergeometric functions
2009/3/27
The Laplace transform of the first exit time from a finite interval by a regular spectrally negative α-stable Ornstein-Uhlenbeck process is provided in terms of the Wright's generalized hypergeometric...
Two-sided exit problem for a Spectrally Negative α-Stable Ornstein-Uhlenbeck Process and the Wright's generalized hypergeometric functions
Laplace transform Spectrally Negative hypergeometric functions
2009/3/23
The Laplace transform of the first exit time from a finite interval by a regular spectrally negative α-stable Ornstein-Uhlenbeck process is provided in terms of the Wright's generalized hypergeometric...