Ornstein-Uhlenbeck processes for geophysical data analysis

DOI10.1016/J.PHYSA.2013.12.050MaRDI QIDQ1782641zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

characteristic functionexit timegamma processesLévy processesOrnstein-Uhlenbeck processes

Mathematics Subject Classification ID

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

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Cites work

• CRASHES AS CRITICAL POINTS
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• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 1639858 (Why is no real title available?)
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• Introduction to Econophysics
• Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• On exit times of Levy-driven Ornstein-Uhlenbeck processes
• On the First Passage Time of an Autoregressive Process over a Level and an Application to a “Disorder” Problem
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Space-time point-process models for earthquake occurrences
• Superposition of Ornstein-Uhlenbeck type processes
• The First Passage Problem for a Continuous Markov Process

Cited in

(13)

• Stochastic differential equations applied to the study of geophysical and financial time series
• Local regression type methods applied to the study of geophysics and high frequency financial data
• 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
• Spatio‐temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference
• Orthogonal representations of random fields and an application to geophysics data
• 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
• First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process
• Option pricing in a stochastic delay volatility model
• Integral fractional Ornstein-Uhlenbeck process model for animal movement
• Evaluation of interpolants in their ability to fit seismometric time series

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