On a diffusion process intermediate between standard Brownian motion and the Ornstein-Uhlenbeck process

MaRDI QIDQ2919799zbMATH OpenFDO

Authors Mario Lefebvre

Publication date 22 October 2012

Published in ROMAI Journal (Search for Journal in Brave)

zbMATH Keywords

infinitesimal parametersKolmogorov forward equationWiener process

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cited in

(5)

• Integrable deformation of Gaussian distribution and the Ornstein-Uhlenbeck process
• Microscopic chaos and Gaussian diffusion processes
• Centre-of-mass like superposition of Ornstein-Uhlenbeck processes: A pathway to non-autonomous stochastic differential equations and to fractional diffusion
• The fBm-driven Ornstein-Uhlenbeck process: probability density function and anomalous diffusion
• Power Brownian motion: an Ornstein-Uhlenbeck lookout

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