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The structure of entrance laws for time-inhomogeneous Ornstein-Uhlenbeck processes with Levy noise in Hilbert spaces
期刊论文
INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS, 2021, 卷号: 24, 期号: 02, 页码: 23
作者:
Majid, Narges Rezvani
;
Roeckner, Michael
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浏览/下载:40/0
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提交时间:2021/10/26
Entrance laws
evolution system of measures
Ornstein Uhlenbeck processes
Levy processes
integral representations
Ornstein-Uhlenbeck processes with singular drifts: integral estimates and Girsanov densities
期刊论文
PROBABILITY THEORY AND RELATED FIELDS, 2020, 页码: 31
作者:
Gordina, Maria
;
Roeckner, Michael
;
Teplyaev, Alexander
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  |  
浏览/下载:4/0
  |  
提交时间:2020/09/23
Ornstein-Uhlenbeck process
Singular perturbation
Nonlinear infinite-dimensional stochastic differential equations
Non-Lipschitz monotone coefficients
Girsanov theorem
Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation
期刊论文
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2018, 卷号: 36, 期号: 1, 页码: 75-87
作者:
James, Lancelot F.
;
Mueller, Gernot
;
Zhang, Zhiyuan
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  |  
浏览/下载:5/0
  |  
提交时间:2019/08/22
Dirichlet mean functional
Dirichlet process
Generalized Gamma Convolution
Particle marginal Metropolis-Hastings
Sequential Monte Carlo
Occupation times of Levy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications
其他
2017-01-01
Zhou, Jiang
;
Wu, Lan
;
Bai, Yang
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浏览/下载:5/0
  |  
提交时间:2017/12/03
Ornstein-Uhlenbeck process
Occupation times
Exit problem
DIFFUSION-PROCESSES
STEP OPTIONS
EXIT TIMES
Time Regularity of Generalized Ornstein-Uhlenbeck Processes with L,vy Noises in Hilbert Spaces
其他
2016-01-01
Liu, Yong
;
Zhai, Jianliang
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浏览/下载:5/0
  |  
提交时间:2017/12/03
Generalized Ornstein-Uhlenbeck processes with Levy noises
Cadlag modification
alpha-stable process
alpha-semistable process
INFINITE DIMENSIONS
CONTINUITY
Renormalized powers of Ornstein-Uhlenbeck processes and well-posedness of stochastic Ginzburg-Landau equations
其他
2016-01-01
Weinan, E.
;
Jentzen, Arnulf
;
Shen, Hao
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浏览/下载:3/0
  |  
提交时间:2017/12/03
Renormalization
Stochastic Ginzburg-Landau equations
FIELD-THEORY
QUANTIZATION
Anomalous barrier escaping in an externally modulated environment of system-reservoir coupling
期刊论文
INTERNATIONAL JOURNAL OF MODERN PHYSICS B, 2015, 卷号: 29, 期号: 4, 页码: 1550012
作者:
Wang, CY
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浏览/下载:18/0
  |  
提交时间:2016/11/21
External modulation
barrier escaping
transmission coefficient
reactive flux
Central limit theorems for supercritical superprocesses
其他
2015-01-01
Ren, Yan-Xia
;
Song, Renming
;
Zhang, Rui
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  |  
浏览/下载:3/0
  |  
提交时间:2015/11/10
Central limit theorem
Supercritical superprocess
Excursion measures of superprocesses
MARKOV BRANCHING PROCESSES
GALTON-WATSON PROCESSES
DIFFERENTIAL-EQUATIONS
An optimal investment model with Markov-driven volatilities
期刊论文
QUANTITATIVE FINANCE, 2014, 卷号: 14, 期号: 9, 页码: 1651-1661
作者:
Luo, Shangzhen
;
Zeng, Xudong
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浏览/下载:5/0
  |  
提交时间:2019/08/22
Portfolio optimization
Stochastic control
Dynamic programming
Utility functions
Central Limit Theorems for Super Ornstein-Uhlenbeck Processes
其他
2014-01-01
Ren, Yan-Xia
;
Song, Renming
;
Zhang, Rui
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  |  
浏览/下载:8/0
  |  
提交时间:2015/11/10
Central limit theorem
Backbone decomposition
Superprocess
Super Ornstein-Uhlenbeck process
Branching process
Branching Ornstein-Uhlenbeck process
Ornstein-Uhlenbeck process
MARKOV BRANCHING PROCESSES
GALTON-WATSON PROCESSES
LARGE NUMBERS
DIFFERENTIAL-EQUATIONS
STRONG LAW
SUPERDIFFUSIONS
DIFFUSIONS
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