A solution of the Ornstein-Uhlenbeck equation
type: Item
instance of: scholarly article
title: A solution of the Ornstein-Uhlenbeck equation
zbMATH Open document ID: 1085.60060
DOI: 10.1007/BF02831951
author: N. E. Zubov
published in: Journal of Applied Mathematics and Computing
publication date: 2006-02-20T00:00:00Z
review text: The authors provide a solution to the Ornstein-Uhlenbeck equation based on a random walk with the random movement taken by sampled points of a random signal. The random signal is a sum of sine functions with random amplitudes, random frequencies, and random phases. At variance with solutions by other methods, they show that the Lyapunov exponent of their solution is positive by proving that the power of the signal has the additive property.
reviewed by: Bassano Vacchini
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 82C31
zbMATH DE Number: 5007524
zbMATH Keywords: Ornstein-Uhlenbeck equation
zbMATH Keywords: Gaussian white noise
zbMATH Keywords: Johnson noise
zbMATH Keywords: Lyapunov exponent
zbMATH Keywords: random signal
MaRDI profile type: Publication
cites work: The generalized Ornstein - Uhlenbeck process
cites work: Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises
full work available at URL: https://doi.org/10.1007/bf02831951
OpenAlex ID: W2090992490
description: scientific article; zbMATH DE number 5007524