Ornstein-Uhlenbeck processes for geophysical data analysis

DOI10.1016/J.PHYSA.2013.12.050zbMATH Open1395.86008OpenAlexW2084511274MaRDI QIDQ1782641FDOQ1782641

Authors: G. Richomme 

Publication date: 20 September 2018

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

Full work available at URL: https://doi.org/10.1016/j.physa.2013.12.050

Recommendations

• Ornstein-Uhlenbeck process with non-Gaussian structure
• Ornstein-Uhlenbeck process driven by \(\alpha\)-stable process and its gamma subordination
• Methods for modeling the Ornstein-Uhlenbeck process
• New statistical investigations of Ornstein-Uhlenbeck process. I: Theoretical backround
• New statistical investigations of the Ornstein-Uhlenbeck process.

zbMATH Keywords

characteristic functionOrnstein-Uhlenbeck processesexit timegamma processesLévy processes

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Geostatistics (86A32) Diffusion processes (60J60)

Cites Work

• Space-time point-process models for earthquake occurrences
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Introduction to Econophysics
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Title not available (Why is that?)
• Superposition of Ornstein-Uhlenbeck type processes
• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• The First Passage Problem for a Continuous Markov Process
• Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component
• On exit times of Levy-driven Ornstein-Uhlenbeck processes
• CRASHES AS CRITICAL POINTS
• Exit times for a class of piecewise exponential Markov processes with two-sided jumps
• On the First Passage Time of an Autoregressive Process over a Level and an Application to a “Disorder” Problem

Cited In (10)

• Stochastic differential equations applied to the study of geophysical and financial time series
• Treatment of geophysical data as a non-stationary process
• A generalized Goodwin business cycle model in random environment
• Prediction of the stock prices at Uganda securities exchange using the exponential Ornstein-Uhlenbeck model
• Spatio‐temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference
• Statistical analysis of geopotential height (GH) timeseries based on Tsallis non-extensive statistical mechanics
• Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option
• Local regression type methods applied to the study of geophysics and high frequency financial data
• Evaluation of interpolants in their ability to fit seismometric time series
• Orthogonal representations of random fields and an application to geophysics data

This page was built for publication: Ornstein-Uhlenbeck processes for geophysical data analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1782641)