Analytical survival analysis of the non-autonomous Ornstein-Uhlenbeck process

DOI10.1007/S10955-024-03355-ZMaRDI QIDQ6635290zbMATH OpenFDO

Authors L. T. Giorgini, W. Moon, J. S. Wettlaufer

Publication date 9 November 2024

Published in Journal of Statistical Physics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10955-024-03355-Z

zbMATH Keywords

asymptoticsFokker-Planck equationnon-autonomous Ornstein-Uhlenbeck processsurvival probability

Mathematics Subject Classification ID

Survival analysis and censored data (62Nxx)

Cites work

• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• Analytical survival analysis of the Ornstein-Uhlenbeck process
• Centre-of-mass like superposition of Ornstein-Uhlenbeck processes: A pathway to non-autonomous stochastic differential equations and to fractional diffusion
• Evolution systems of measures for non-autonomous Ornstein-Uhlenbeck processes with Lévy noise
• First-passage-time density and moments of the ornstein-uhlenbeck process
• Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
• Motoneuron membrane potentials follow a time inhomogeneous jump diffusion process
• Nonadiabatic escape and stochastic resonance
• Ornstein-Uhlenbeck processes with singular drifts: integral estimates and Girsanov densities
• Statistics of the first passage area functional for an Ornstein–Uhlenbeck process
• Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models
• Survival models based on the Ornstein-Uhlenbeck process

Cited in

(1)

• Accelerated first-passage dynamics in a non-Markovian feedback Ornstein-Uhlenbeck process

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