On Upper Functions for Anomalous Diffusions Governed by Time-Varying Ornstein--Uhlenbeck Process

DOI10.1137/S0040585X97T989453zbMath1479.60205OpenAlexW2965468596WikidataQ127396573 ScholiaQ127396573MaRDI QIDQ5232087

E. S. Palamarchuk

Publication date: 29 August 2019

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t989453

zbMATH Keywords

anomalous diffusionlaw of iterated logarithmupper functiontime-varying Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

Related Items (2)

On Optimal Linear Regulator with Polynomial Process of External Excitations ⋮ On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs

Cites Work

• Unnamed Item
• On stochastic optimality for a linear controller with attenuating disturbances
• A law of the iterated logarithm for stochastic integrals
• On the generalization of logarithmic upper function for solution of a linear stochastic differential equation with a nonexponentially stable matrix
• An analytic study of the Ornstein-Uhlenbeck process with time-varying coefficients in the modeling of anomalous diffusions
• Optimization of the superstable linear stochastic system applied to the model with extremely impatient agents
• Integrated stationary Ornstein-Uhlenbeck process, and double integral processes
• Parameter estimation in systems of differential equations, based on three-way data arrays and random time changes
• Analysis of the Asymptotic Behavior of the Solution to a Linear Stochastic Differential Equation with Subexponentially Stable Matrix and Its Application to a Control Problem
• Inference for Observations of Integrated Diffusion Processes
• Weak convergence of an autoregressive process used in modeling population growth
• On a Stochastic Optimality of the Feedback Control in the LQG-Problem
• Stochastic Processes and Applications
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

This page was built for publication: On Upper Functions for Anomalous Diffusions Governed by Time-Varying Ornstein--Uhlenbeck Process