An explicit form of the fundamental solution of the master equation for a jump-diffusion Ornstein-Uhlenbeck process
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Publication:6508630
arXiv2301.13567MaRDI QIDQ6508630FDOQ6508630
Authors: Olga Rozanova, Nikolai A. Krutov 
Abstract: An integro-differential equation for the probability density of the generalized stochastic Ornstein-Uhlenbeck process with jump diffusion is considered. It is shown that for a certain ratio between the intensity of jumps and the speed of reversion, the fundamental solution can be found explicitly. The properties of this solution are investigated. The fundamental solution allows one to obtain explicit formulas for the densities at each moment of time.
Probability distributions: general theory (60E05) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
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