ORNSTEIN-UHLENBECK

作品数：57被引量：113H指数：6
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MARTINGALE REPRESENTATION AND LOGARITHMIC-SOBOLEV INEQUALITY FOR THE FRACTIONAL ORNSTEIN-UHLENBECK MEASURE被引量：1
《Acta Mathematica Scientia》2021年第3期827-842,共16页Xiaoxia SUN Feng GUO 
supported by the National Natural Science Foundation of China(11801064)。
In this paper,we consider the measure determined by a fractional OrnsteinUhlenbeck process.For such a measure,we establish an explicit form of the martingale representation theorem and consequently obtain an explicit ...
关键词：Fractional Ornstein-Uhlenbeck measure integration by parts formula martingale representation theorem Logarithmic-Sobolev inequality 
LEAST SQUARES TYPE ESTIMATION FOR DISCRETELY OBSERVED NON-ERGODIC GAUSSIAN ORNSTEIN-UHLENBECK PROCESSES被引量：1
《Acta Mathematica Scientia》2019年第4期989-1002,共14页Khalifa ES-SEBAIY Fares ALAZEMI Mishari AL-FORAIH 
supported and funded by Kuwait University,Research Project No.SM01/16
In this article, we consider the drift parameter estimation problem for the nonergodic Ornstein-Uhlenbeck process defined as dXt = OXtdt + dGt, i > 0 with an unknown parameter θ> 0, where G is a Gaussian process. We ...
关键词：Drift parameter ESTIMATION non-ergodic GAUSSIAN ORNSTEIN-UHLENBECK process discrete observations 
COMPLEX WIENER-ITO CHAOS DECOMPOSITION REVISITED
《Acta Mathematica Scientia》2019年第3期797-818,共22页Yong CHEN Yong UU 
Supported by NSFC(11871079);NSFC (11731009);Center for Statistical Science,PKU
In this article, some properties of complex Wiener-It? multiple integrals and complex Ornstein-Uhlenbeck operators and semigroups are obtained. Those include Stroock’s formula, Hu-Meyer formula, Clark-Ocone formula, ...
关键词：Complex Hermite polynomials complex Gaussian isonormal processes complex Wiener-Ito Multiple Integrals complex Ornstein-Uhlenbeck operators and semigroups 
DIMENSION RESULTS FORORNSTEIN-UHLENBECK TYPE MARKOVPROCESS
《Acta Mathematica Scientia》1999年第4期417-424,共8页邓爱姣 刘禄勤 
Let {X-t, t greater than or equal to 0} be an Ornstein-Uhlenbeck type Markov process with Levy process A(t), the authors consider the fractal properties of its ranges, give the upper and lower bounds of the Hausdorff ...
关键词：Levy process Ornstein-Uhlenbeck type Markov process RANGE level set Hausdorff dimension local time occuption time 
SOME CHARACTERS OF A CLASS OF ORNSTEIN-UHLENBECK TYPE MARKOV PROCESSES WITH STABLE PROCESSES
《Acta Mathematica Scientia》1997年第2期121-128,共8页王永进 
This article concerns a class of Ornstein-Uhlenbeck type Markov processes and for which the level sets will be approached. By constructing a new class f processes, we shall obtain an inequality on the Hausdorff dimens...
关键词：alpha-stable process Ornstein-Uhlenbeck type Markov process RANGE Hausdorff dimension COLLISION 
ON MODULI OF NON-DIFFERENTIABILITY FOR A TWO-PARAMETER ORNSTEIN-UHLENBECK PRCESS
《Acta Mathematica Scientia》1996年第S1期85-91,共7页林正炎 
In the paper, which is a continuation of [2], we establish moduli of non-differentiablity for a two-parameter Ornstein-Uhlenbeck process.
关键词：Moduli of non-differentiablity two-parameter Ornstein-Uhlenbeck  process 
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