A Haar-like construction for the Ornstein Uhlenbeck process

DOI10.1007/s10955-008-9545-8zbMath1144.82062arXiv0709.1726OpenAlexW2054946014MaRDI QIDQ944969

Thibaud Taillefumier, Marcelo O. Magnasco

Publication date: 10 September 2008

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0709.1726

zbMATH Keywords

Brownian motionOrnstein-Uhlenbeck processHaar basis

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41)

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Cites Work

• The Fokker-Planck equation. Methods of solution and applications.
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• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• First-passage-time density and moments of the ornstein-uhlenbeck process
• The Haar-function construction of brownian motion indexed by sets
• Spiking Neuron Models
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• On the First Passage Time Probability Problem
• Handbook of stochastic methods for physics, chemistry and the natural sciences.
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