Generalized Ornstein-Uhlenbeck processes

MaRDI QIDQ3515333zbMATH OpenFDO

Authors Michèle Thieullen

Publication date 29 July 2008

zbMATH Keywords

Ornstein-Uhlenbeck processFokker-Planck equationhitting timeharmonic oscillatorstationary diffusion processgroundstate

Mathematics Subject Classification ID

Diffusion processes (60J60) Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35)

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Cited in

(13)

• scientific article; zbMATH DE number 503155 (Why is no real title available?)
• On a diffusion process intermediate between standard Brownian motion and the Ornstein-Uhlenbeck process
• Generalized Ornstein-Uhlenbeck processes associated with martingales and their application in finance
• Large deviations for the Pearson family of ergodic diffusion processes involving a quadratic diffusion coefficient and a linear force
• Generalized Ornstein-Uhlenbeck processes
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
• An ergodic-type theorem for generalized Ornstein-Uhlenbeck processes
• Volterra-type Ornstein-Uhlenbeck processes in space and time
• Ornstein-Uhlenbeck processes of bounded variation
• Generalized \(z\)-distributions and related stochastic processes
• Hyperbolic Ornstein-Uhlenbeck process
• Generalized jump-type Ornstein-Uhlenbeck processes as limits of infinite- particle systems
• Generalized Ornstein-Uhlenbeck process having a characteristic operator with polynomial coefficients

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