Integrated stationary Ornstein-Uhlenbeck process, and double integral processes

DOI10.1016/j.physa.2017.12.043OpenAlexW2774448773MaRDI QIDQ2150122

Enrica Pirozzi, Mario Abundo

Publication date: 27 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.12.043

zbMATH Keywords

Ornstein-Uhlenbeck processGauss-Markov processdouble integral process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic integrals (60H05) Statistical mechanics, structure of matter (82-XX)

Related Items (8)

The first-passage area of Ornstein-Uhlenbeck process revisited ⋮ On a stochastic neuronal model integrating correlated inputs ⋮ Super- and subdiffusive positions in fractional Klein-Kramers equations ⋮ Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral ⋮ Asymptotic results for first-passage times of some exponential processes ⋮ Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications ⋮ On Upper Functions for Anomalous Diffusions Governed by Time-Varying Ornstein--Uhlenbeck Process ⋮ Statistics of the first passage area functional for an Ornstein–Uhlenbeck process

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