Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average

DOI10.1239/jap/1134587817zbMath1092.60031OpenAlexW2048329553MaRDI QIDQ5476149

Béatrice Lachaud

Publication date: 29 June 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1134587817

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (16)

Cutoff phenomenon for the maximum of a sampling of Ornstein-Uhlenbeck processes ⋮ Abrupt convergence and escape behavior for birth and death chains ⋮ Cut-off for \(n\)-tuples of exponentially converging processes ⋮ Thermalisation for small random perturbations of dynamical systems ⋮ Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Lévy processes ⋮ The cutoff phenomenon for the stochastic heat and wave equation subject to small Lévy noise ⋮ Universal cutoff for Dyson Ornstein Uhlenbeck process ⋮ The cutoff phenomenon for Ehrenfest chains ⋮ On interweaving relations ⋮ On the first passage time distribution of an Ornstein–Uhlenbeck process ⋮ The cutoff phenomenon in total variation for nonlinear Langevin systems with small layered stable noise ⋮ Abrupt convergence for a family of Ornstein-Uhlenbeck processes ⋮ Cutoff time based on generalized divergence measure ⋮ On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein-Uhlenbeck process ⋮ Bachelier model with stopping time and its insurance application ⋮ Cut-off Phenomenon for Converging Processes in the Sense of α-Divergence Measures

Cites Work

• Cut-off for \(n\)-tuples of exponentially converging processes
• Path dependent options on yields in the affine term structure model
• On the comparison of Feller and Ornstein-Uhlenbeck models for neural activity
• A User's Guide to Measure Theoretic Probability
• Cutoff for Markov Chains: Some Examples and Applications
• Asymptotic analysis of a random walk on a hypercube with many dimensions
• Cutoff for samples of Markov chains
• The cutoff phenomenon in finite Markov chains.
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Cut-off and hitting times of a sample of Ornstein-Uhlenbeck processes and its average