On Upper Functions for Anomalous Diffusions Governed by Time-Varying Ornstein--Uhlenbeck Process
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://epubs.siam.org/doi/pdf/10.1137/S0040585X97T989453
Reference16 articles.
1. An Analytic Study of the Ornstein–Uhlenbeck Process with Time-Varying Coefficients in the Modeling of Anomalous Diffusions
2. On the Generalization of Logarithmic Upper Function for Solution of a Linear Stochastic Differential Equation with a Nonexponentially Stable Matrix
3. On a Stochastic Optimality of the Feedback Control in the LQG-Problem
4. Weak convergence of an autoregressive process used in modeling population growth
5. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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