Approximation of the Ornstein-Uhlenbeck local time by harmonic oscillators

DOI10.2307/3318581zbMath0955.60074OpenAlexW1998313236MaRDI QIDQ1567214

Gonzalo Perera, José Rafael León

Publication date: 16 February 2001

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1081788033

zbMATH Keywords

Ornstein-Uhlenbeck processlocal timeharmonic oscillatorestimatorexternal white noise force

Mathematics Subject Classification ID

Diffusion processes (60J60) Local time and additive functionals (60J55)

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Asymptotics of the entropy production rate for \(d\)-dimensional Ornstein-Uhlenbeck processes

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