Ornstein–Uhlenbeck
Characterising the nonequilibrium stationary states of Ornstein-Uhlenbeck processes Nonequilibrium stationary states of Ornstein-Uhlenbeck processes
... its associated Hermitian form H: stationary probability current (section 2.4), entropy production rate (section 2.5), correlation, response and fluctuation-dissipation ratio (section 2.6). Various other facets of the ...
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Phase diagram of the random frequency oscillator: The case of Ornstein-Uhlenbeck noise
... The study carried out here for the oscillator with multiplicative noise can be adapted to other stochastic systems. For example, Schimansky-Geier et al. [41] have shown that the random Duffing oscillator with additive ...
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First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck Process
... Received 2 August 2009; Accepted 10 November 2009 Recommended by Gideon Schechtman A Markov chain with state space {0, . . . , N} and transition probabilities depending on the current state is studied. The chain can be ...
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Ornstein-Uhlenbeck pinball: I. Poincaré inequalities in a punctured domain.
... the Ornstein-Uhlenbeck process is sticked behind the obstacle for a very long time, while on can expect that it slides on the boundary in the spherical ...
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Nonlocal stationary probability distributions and escape rates for an active Ornstein–Uhlenbeck particle
... 2 Université Grenoble Alpes, CNRS, LIPhy, F-38000 Grenoble, France Abstract We evaluate the steady-state distribution and escape rate for an Active Ornstein–Uhlenbeck Particle (AOUP) using methods from the ...
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Statistical inference of Ornstein-Uhlenbeck processes : generation of stochastic graphs, sparsity, applications in finance
... Le processus d’Ornstein-Uhlenbeck a été introduit en dimension d = 1 afin de modéliser le la vitesse de particules de pollen, comme dans le mouvement Brownien physique, soumises à des frictions [UO30]. Celles-ci ...
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Harmonic measures of the half-plane and balls for the hyperbolic Brownian motion and Ornstein-Uhlenbeck diffusions
... the Ornstein-Uhlenbeck ...the Ornstein- Uhlenbeck processes. The importance of the Ornstein-Uhlenbeck processes in stochastic modelization and financial mathematics is well known, ...
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A note about conditional Ornstein-Uhlenbeck processes
... the Ornstein-Uhlenbeck process with parameter γ, killed when it reaches 0, and on the right hand-side the 3-dimensional ra- dial Ornstein-Uhlenbeck process killed exponentially at rate γ, and ...
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On the stochastic pendulum with Ornstein-Uhlenbeck noise
... Institut de Recherche sur les Ph´enom`enes Hors ´ Equilibre, Universit´e de Provence, 49 rue Joliot-Curie, BP 146, 13384 Marseille Cedex 13, France † (Dated: March 16, 2004) We study a frictionless pendulum subject to ...
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Anharmonic oscillator driven by additive Ornstein-Uhlenbeck noise
... IV. ANALYTICAL RESULTS IN THE LONG TIME LIMIT In this section, we solve the effective dynamics for the variable Z 1 and deduce statistical results for the long time behavior of the energy, the amplitude and the velocity ...
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Regularization in L_1 for the Ornstein-Uhlenbeck semigroup
... and the Orstein–Uhlenbeck semigroup is replaced by the semigroup associated to the random walk on the discrete cube. The Gaussian version of the conjecture would follow from Talagrand’s discrete version by the ...
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