Laplace and the origin of the Ornstein-Uhlenbeck process

DOI10.2307/3318524zbMATH Open0965.60067OpenAlexW4238961519MaRDI QIDQ1815790FDOQ1815790

Authors: Martin Jacobsen 

Publication date: 2 August 2001

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1178291723

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zbMATH Keywords

weak convergencediffusion processFokker-Planck equationHermite polynomialsBernoulli-Laplace urn model

Mathematics Subject Classification ID

Diffusion processes (60J60)

Cited In (16)

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• Cutoff thermalization for Ornstein-Uhlenbeck systems with small Lévy noise in the Wasserstein distance
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• Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals
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• Stochastic integral representations of the extrema of time-homogeneous diffusion processes
• Markov-modulated Ornstein-Uhlenbeck processes
• A class of nonlinear degenerate elliptic equations related to the Gauss measure
• Ornstein–Uhlenbeck operators and semigroups
• On radial solutions for some elliptic equations involving operators with unbounded coefficients in exterior domains
• Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology
• Shuffling large decks of cards and the Bernoulli-Laplace urn model
• Correlated continuous time random walks and fractional Pearson diffusions

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