Laplace and the origin of the Ornstein-Uhlenbeck process

DOI10.2307/3318524zbMath0965.60067OpenAlexW4238961519MaRDI QIDQ1815790

Martin Jacobsen

Publication date: 2 August 2001

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1178291723

zbMATH Keywords

weak convergenceFokker-Planck equationdiffusion processHermite polynomialsBernoulli-Laplace urn model

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items

Cutoff thermalization for Ornstein-Uhlenbeck systems with small Lévy noise in the Wasserstein distance ⋮ Stochastic integral representations of the extrema of time-homogeneous diffusion processes ⋮ Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals ⋮ On radial solutions for some elliptic equations involving operators with unbounded coefficients in exterior domains ⋮ A class of nonlinear degenerate elliptic equations related to the Gauss measure ⋮ Shuffling large decks of cards and the Bernoulli-Laplace urn model ⋮ Correlated continuous time random walks and fractional Pearson diffusions ⋮ Valuation of power plants ⋮ THE LANGEVIN OR KRAMERS APPROACH TO BIOLOGICAL MODELING ⋮ Estimating the moments of a random forcing field of 2D fluid from image sequences using energy minimisation method ⋮ Ornstein–Uhlenbeck operators and semigroups ⋮ Statistical Inference for Student Diffusion Process ⋮ Markov-modulated Ornstein–Uhlenbeck processes ⋮ Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology