An analytic study of the Ornstein-Uhlenbeck process with time-varying coefficients in the modeling of anomalous diffusions

DOI10.1134/S000511791802008XMaRDI QIDQ1642040zbMATH OpenOpenAlexWikidataFDO

Authors E. S. Palamarchuk

Publication date 20 June 2018

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s000511791802008x

zbMATH Keywords

filteringRiccati equationanomalous diffusionlinear controllerprocess Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03)

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Cited in

(8)

• The fBm-driven Ornstein-Uhlenbeck process: probability density function and anomalous diffusion
• Centre-of-mass like superposition of Ornstein-Uhlenbeck processes: A pathway to non-autonomous stochastic differential equations and to fractional diffusion
• Asymptotically-preserving large deviations principles by stochastic symplectic methods for a linear stochastic oscillator
• Super- and subdiffusive positions in fractional Klein-Kramers equations
• Time-averaged mean squared displacement ratio test for Gaussian processes with unknown diffusion coefficient
• On upper functions for anomalous diffusions governed by time-varying Ornstein-Uhlenbeck process
• On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs
• Power Brownian motion: an Ornstein-Uhlenbeck lookout

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