Ornstein-Uhlenbeck processes for geophysical data analysis

DOI10.1016/j.physa.2013.12.050zbMath1395.86008OpenAlexW2084511274MaRDI QIDQ1782641

G. Richomme

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2013.12.050

zbMATH Keywords

Lévy processescharacteristic functionexit timegamma processesOrnstein-Uhlenbeck processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Geostatistics (86A32) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (6)

Stochastic differential equations applied to the study of geophysical and financial time series ⋮ Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option ⋮ Evaluation of interpolants in their ability to fit seismometric time series ⋮ Prediction of the stock prices at Uganda securities exchange using the exponential Ornstein-Uhlenbeck model ⋮ Local regression type methods applied to the study of geophysics and high frequency financial data ⋮ A generalized Goodwin business cycle model in random environment

Cites Work

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• CRASHES AS CRITICAL POINTS
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• Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component
• Introduction to Econophysics
• The First Passage Problem for a Continuous Markov Process

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