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Least squares estimation for the Ornstein–Uhlenbeck process with small Hermite noise
We consider the problem of the drift parameter estimation for a non-Gaussian long memory Ornstein–Uhlenbeck process driven by a Hermite process. To...
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Kac-Ornstein-Uhlenbeck Processes: Stationary Distributions and Exponential Functionals
We study Ornstein-Uhlenbeck processes whose parameters are modulated by an external two-state Markov process. The conditional means of such a process...
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Optimal stable Ornstein–Uhlenbeck regression
We prove asymptotically efficient inference results concerning an Ornstein–Uhlenbeck regression model driven by a non-Gaussian stable Lévy process,...
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Hierarchical correction of p-values via an ultrametric tree running Ornstein-Uhlenbeck process
Statistical testing is classically used as an exploratory tool to search for association between a phenotype and many possible explanatory variables....
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Ornstein - Uhlenbeck Process Driven By \(\alpha\)-stable Process and Its Gamma Subordination
The variety and diversity of phenomena surrounding us and easy access to empirical data require either new and more complicated models that allow to...
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Fast simulation of tempered stable Ornstein–Uhlenbeck processes
Constructing Lévy-driven Ornstein–Uhlenbeck processes is a task closely related to the notion of self-decomposability. In particular, their...
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Sequential Maximum Likelihood Estimation for the Squared Radial Ornstein-Uhlenbeck Process
In this paper, we study the properties of a sequential maximum likelihood estimator of the unknown parameter for the squared radial...
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Estimation and Testing in Multivariate Generalized Ornstein-Uhlenbeck Processes with Change-Points
In this paper, we consider an inference problem about the drift parameter matrix of multivariate generalized Ornstein-Uhlenbeck processes with...
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Ornstein-Uhlenbeck Processes of Bounded Variation
Ornstein-Uhlenbeck process of bounded variation is introduced as a solution of an analogue of the Langevin equation with an integrated telegraph...
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Maximum Likelihood Estimation for an Ornstein–Uhlenbeck Model for Neural Activity
The Ornstein–Uhlenbeck process arises from a leaky stochastic integrate-and-fire model of the membrane potential of a neuron, in which its firing...
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Optimal Mean-Variance Investment-Reinsurance Strategy for a Dependent Risk Model with Ornstein-Uhlenbeck Process
In this paper, we investigate the optimal investment-reinsurance strategy for an insurer with two dependent classes of insurance business, where the...
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Fractional Ornstein-Uhlenbeck Process with Stochastic Forcing, and its Applications
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic...
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Fourier approach to goodness-of-fit tests for Gaussian random processes
A new goodness-of-fit (GoF) test is proposed and investigated for the Gaussianity of the observed functional data. The test statistic is the...
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Optimal Investment-Consumption and Life Insurance Strategy with Mispricing and Model Ambiguity
In this paper, we consider the optimal investment-consumption and life insurance strategy for a wage earner who has uncertain labor income described...
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The Valuation at Origination of Mortgages with Full Prepayment and Default Risks
We investigate the valuation problem of a mortgage contract with full prepayment and default risks using the reduced-form model with regime...
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A bootstrap test for threshold effects in a diffusion process
This paper proposes a bootstrap testing approach based on an approximate maximum likelihood method to discern whether a diffusion process is linear...
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Modeling and Forecasting Wind Energy Production by Stochastic Differential Equations
Renewable energies are on the rise and their impact on the sustainability of our planet is consensual. Adequate tools for modeling and forecasting...
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Parameter Estimation for Some Discretely Observed Class of Stable Driven Stochastic Differential Equations
In this paper, we consider the problem of parameter estimation for a real stochastic model observed at some discrete times, that is a solution of a...
