Duals and inverse flows of generalized Ornstein-Uhlenbeck processes
Fuente:
arXiv
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866917299395493888 |
|---|---|
| author | Behme, Anita Heinrich, Henriette E. Lindner, Alexander |
| author_facet | Behme, Anita Heinrich, Henriette E. Lindner, Alexander |
| contents | We derive explicit representations for the (Siegmund) dual and the inverse flow of generalized Ornstein-Uhlenbeck processes whenever these exist. It turns out that the dual and the process corresponding to the inverse stochastic flow are again generalized Ornstein-Uhlenbeck processes. Further, we observe that the stationary distribution of the dual process provides information about the hitting time of zero of the original process. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2504_05157 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Duals and inverse flows of generalized Ornstein-Uhlenbeck processes Behme, Anita Heinrich, Henriette E. Lindner, Alexander Probability 60G51, 60G10, 60H10 We derive explicit representations for the (Siegmund) dual and the inverse flow of generalized Ornstein-Uhlenbeck processes whenever these exist. It turns out that the dual and the process corresponding to the inverse stochastic flow are again generalized Ornstein-Uhlenbeck processes. Further, we observe that the stationary distribution of the dual process provides information about the hitting time of zero of the original process. |
| title | Duals and inverse flows of generalized Ornstein-Uhlenbeck processes |
| topic | Probability 60G51, 60G10, 60H10 |
| url | https://arxiv.org/abs/2504.05157 |