Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 494, Issue -, Pages 265-275Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2017.12.043
Keywords
Double integral process; Gauss-Markov process; Ornstein-Uhlenbeck process
Categories
Ask authors/readers for more resources
We find a representation of the integral of the stationary Ornstein-Uhlenbeck (ISOU) process in terms of Brownian motion BE; moreover, we show that, under certain conditions on the functions f and g, the double integral process (DIP) D(t) = integral(beta)(s)(integral(s)(alpha)(f(u))dB(u))ds can be thought as the integral of a suitable Gauss-Markov process. some theoretical and application details are given, among them we provide a simulation formula based on that representation by which sample paths, probability densities and first passage times of the ISOU process are obtained; the first -passage times of the DIP are also studied. (C) 2017 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available