期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 494, 期 -, 页码 265-275出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2017.12.043
关键词
Double integral process; Gauss-Markov process; Ornstein-Uhlenbeck process
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.
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