Higher-order Riesz operators for the Ornstein–Uhlenbeck Semigroup

We prove that the second-order Riesz transforms associated to the Ornstein–Uhlenbeck semigroup are weak type (1,1) with respect to the Gaussian measure in finite dimension. We also show that they are given by a principal value integral plus a constant multiple of the identity. For the Riesz transforms of order three or higher, we present a counterexample showing that the weak type (1,1) estimate fails.     

On Ornstein–Uhlenbeck driven by Ornstein–Uhlenbeck processes

We investigate the asymptotic behavior of the maximum likelihood estimators of the unknown parameters of positive recurrent Ornstein–Uhlenbeck processes driven by Ornstein–Uhlenbeck processes.     

Global L p estimates for degenerate Ornstein–Uhlenbeck operators

We consider a class of degenerate Ornstein–Uhlenbeck operators in ${\mathbb{R}^{N}}We consider a class of degenerate Ornstein–Uhlenbeck operators in \mathbbR^N{\mathbb{R}^{N}} , of the kind

A o ?i, j=1p0aij?xixj2 + ?i, j=1Nbijxi?xj\mathcal{A}\equiv\sum_{i, j=1}^{p_{0}}a_{ij}\partial_{x_{i}x_{j}}^{2} + \sum_{i, j=1}^{N}b_{ij}x_{i}\partial_{x_{j}}      4. Volterra-type Ornstein–Uhlenbeck processes in space and time      Viet Son Pham  Carsten Chong 《Stochastic Processes and their Applications》2018,128(9):3082-3117 We propose a novel class of temporo-spatial Ornstein–Uhlenbeck processes as solutions to Lévy-driven Volterra equations with additive noise and multiplicative drift. After formulating conditions for the existence and uniqueness of solutions, we derive an explicit solution formula and discuss distributional properties such as stationarity, second-order structure and short versus long memory. Furthermore, we analyze in detail the path properties of the solution process. In particular, we introduce different notions of càdlàg paths in space and time and establish conditions for the existence of versions with these regularity properties. The theoretical results are accompanied by illustrative examples.      5. Hyperbolic Ornstein–Uhlenbeck Process      A. N. Borodin 《Journal of Mathematical Sciences》2016,219(5):631-638       6. On the small time behavior of Ornstein–Uhlenbeck processes with unbounded linear drifts      S. Fang  T.S. Zhang 《Probability Theory and Related Fields》1999,114(4):487-504 In this paper, we study the small time behavior of Ornstein–Ulenbeck processes with unbounded linear drifts on Hilbert spaces. The large deviations estimates are obtained. The general theory of Dirichlet forms, Lyons–Zheng′s decompositions and the convolution representation of the processes play an important role. Received: 12 February 1997 / Revised version: 27 November 1998      7. A Note on time regularity of generalized Ornstein–Uhlenbeck processes with cylindrical stable noise      Yong Liu  Jianliang Zhai 《Comptes Rendus Mathematique》2012,350(1-2):97-100 A necessary and sufficient condition of càdlàg modification of Ornstein–Uhlenbeck process with cylindrical stable noise in a Hilbert space is given in this Note. Applying this result, some questions in Time irregularity of generalized Ornstein–Uhlenbeck processes [C. R. Acad. Sci. Paris, Ser. I 348 (2010) 273–276] and Structural properties of semilinear SPDEs driven by cylindrical stable process [Probab. Theory Related Fields 149 (2011) 97–137] are answered.      8. The first passage time density of Ornstein–Uhlenbeck process with continuous and impulsive excitations      《Chaos, solitons, and fractals》2016 The first passage time of the Ornstein–Uhlenbeck process plays a prototype role in various noise-induced escape problems. In order to calculate the first passage time density of the Ornstein–Uhlenbeck process modulated by continuous and impulsive periodic excitations using the second kind Volterra integral equation method, we adopt an approximation scheme of approaching Dirac delta function by alpha function to transform the involved discontinuous dynamical threshold into a smooth one. It is proven that the first passage time of the approximate model converges to the first passage time of the original model in probability as the approximation exponent alpha tends to infinity. For given parameters, our numerical realizations further demonstrate that good approximation effect can be achieved when the approximation exponent alpha is 10.      9. Multivariate generalized Ornstein–Uhlenbeck processes      Anita Behme  Alexander Lindner 《Stochastic Processes and their Applications》2012 De Haan and Karandikar (1989) [7] introduced generalized Ornstein–Uhlenbeck processes as one-dimensional processes (Vt)t≥0${\left(V_t\right)}_{t\ge 0}$ which are basically characterized by the fact that for each h>0$h>0$ the equidistantly sampled process (Vnh)n∈N0${\left(V_{nh}\right)}_{n\in {\mathbb{N}}_0}$ satisfies the random recurrence equation Vnh=A(n−1)h,nhV(n−1)h+B(n−1)h,nh$V_{nh}=A_{(n-1)h,nh}{V}_{(n-1)h}+B_{(n-1)h,nh}$, n∈N$n\in \mathbb{N}$, where (A(n−1)h,nh,B(n−1)h,nh)n∈N${(A_{(n-1)h,nh},B_{(n-1)h,nh})}_{n\in \mathbb{N}}$ is an i.i.d. sequence with positive A0,h$A_{0,h}$ for each h>0$h>0$. We generalize this concept to a multivariate setting and use it to define multivariate generalized Ornstein–Uhlenbeck (MGOU) processes which occur to be characterized by a starting random variable and some Lévy process (X,Y)$(X,Y)$ in Rm×m×Rm${\mathbb{R}}^{m\times m}\times {\mathbb{R}}^m$. The stochastic differential equation an MGOU process satisfies is also derived. We further study invariant subspaces and irreducibility of the models generated by MGOU processes and use this to give necessary and sufficient conditions for the existence of strictly stationary MGOU processes under some extra conditions.      10. On some Gaussian Bernstein processes in and the periodic Ornstein–Uhlenbeck process      Pierre-A. Vuillermot  Jean-C. Zambrini 《随机分析与应用》2016,34(4):573-597       11. Phylogenetic Ornstein–Uhlenbeck regression curves      《Statistics & probability letters》2014 Regression curves for studying trait relationships are developed herein. The adaptive evolution model is considered as an Ornstein–Uhlenbeck system whose parameters are estimated by a novel engagement of generalized least-squares and optimization. Our algorithm is implemented to ecological data.      12. Geometric Analysis on Ornstein–Uhlenbeck Operators with Quadratic Potentials      Der-Chen Chang  Sheng-Ya Feng 《Journal of Geometric Analysis》2014,24(3):1211-1232 In this paper, we study Ornstein–Uhlenbeck operators with quadratic potentials. We use Hamiltonian formalism to characterize the singularities produced by the potentials by finding explicit geodesics which are induced by the operators. Then we obtain the heat kernels via a probabilistic ansatz. All the formulae are closed.      13. Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models      Lingfei Li  Rafael Mendoza-Arriaga 《Operations Research Letters》2013,41(5):521-525 We characterize Ornstein–Uhlenbeck processes time changed with additive subordinators as time-inhomogeneous Markov semimartingales, based on which a new class of commodity derivative models is developed. Our models are tractable for pricing European, Bermudan and American futures options. Calibration examples show that they can be better alternatives than those developed in Li and Linetsky (2012)  [6]. Our method can be applied to many other processes popular in various areas besides finance to develop time-inhomogeneous Markov processes with desirable features and tractability.      14. Spectrum and pseudospectrum of non-self-adjoint Schrödinger operators with periodic coefficients      S. V. Gal’tsev  A. I. Shafarevich 《Mathematical Notes》2006,80(3-4):345-354 We consider the pseudospectrum of the non-self-adjoint operator $$\mathfrak{D} = - h^2 \frac{{d^2 }}{{dx^2 }} + iV(x)$$ , where V(x) is a periodic entire analytic function, real on the real axis, with a real period T. In this operator, h is treated as a small parameter. We show that the pseudospectrum of this operator is the closure of its numerical image, i.e., a half-strip in ?. In this case, the pseudoeigenfunctions, i.e., the functions ?(h, x) satisfying the condition $$\left\| {\mathfrak{D}\varphi - \lambda \varphi } \right\| = O(h^N ), \left\| \varphi \right\| = 1, N \in \mathbb{N}$$ , can be constructed explicitly. Thus, it turns out that the pseudospectrum of the operator under study is much wider than its spectrum.      15. Ornstein–Uhlenbeck process,Cauchy process,and Ornstein–Uhlenbeck–Cauchy process on a circle      Cheng-Shi Liu 《Applied Mathematics Letters》2013,26(9):957-962 By a simple mathematical method, we obtain the transition probability density functions of the Ornstein–Uhlenbeck process, Cauchy process, and Ornstein–Uhlenbeck–Cauchy process on a circle.      16. Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility      Fred Espen Benth  Barbara Rüdiger  Andre Süss 《Stochastic Processes and their Applications》2018,128(2):461-486 We propose a non-Gaussian operator-valued extension of the Barndorff-Nielsen and Shephard stochastic volatility dynamics, defined as the square-root of an operator-valued Ornstein–Uhlenbeck process with Lévy noise and bounded drift. We derive conditions for the positive definiteness of the Ornstein–Uhlenbeck process, where in particular we must restrict to operator-valued Lévy processes with “non-decreasing paths”. It turns out that the volatility model allows for an explicit calculation of its characteristic function, showing an affine structure. We introduce another Hilbert space-valued Ornstein–Uhlenbeck process with Wiener noise perturbed by this class of stochastic volatility dynamics. Under a strong commutativity condition between the covariance operator of the Wiener process and the stochastic volatility, we can derive an analytical expression for the characteristic functional of the Ornstein–Uhlenbeck process perturbed by stochastic volatility if the noises are independent. The case of operator-valued compound Poisson processes as driving noise in the volatility is discussed as a particular example of interest. We apply our results to futures prices in commodity markets, where we discuss our proposed stochastic volatility model in light of ambit fields.      17. Harnack Inequalities and Applications for Ornstein–Uhlenbeck Semigroups with Jump      Shun-Xiang Ouyang  Michael Röckner  Feng-Yu Wang 《Potential Analysis》2012,36(2):301-315 The Harnack inequality established in Röckner and Wang (J Funct Anal 203:237–261, 2003) for generalized Mehler semigroup is improved and generalized. As applications, the log-Harnack inequality, the strong Feller property, the hyper-bounded property, and some heat kernel inequalities are presented for a class of O-U type semigroups with jump. These inequalities and semigroup properties are indeed equivalent, and thus sharp, for the Gaussian case. As an application of the log-Harnack inequality, the HWI inequality is established for the Gaussian case. Perturbations with linear growth are also investigated.      18. Commuting Krichever–Novikov differential operators with polynomial coefficients      A. B. Zheglov  A. E. Mironov  B. T. Saparbayeva 《Siberian Mathematical Journal》2016,57(5):819-823 Under study are some commuting rank 2 differential operators with polynomial coefficients. We prove that, for every spectral curve of the form w2 = z3+c2z2+c1z+c0 with arbitrary coefficients ci, there exist commuting nonselfadjoint operators of orders 4 and 6 with polynomial coefficients of arbitrary degree.      19. Asymptotic Solutions of Viscous Hamilton–Jacobi Equations with Ornstein–Uhlenbeck Operator      Yasuhiro Fujita  Hitoshi Ishii  Paola Loreti 《偏微分方程通讯》2013,38(6):827-848 We study the long time behavior of solutions of the Cauchy problem for semilinear parabolic equations with the Ornstein–Uhlenbeck operator in ? N . The long time behavior in the main results is stated with help of the corresponding to ergodic problem, which complements, in the case of unbounded domains, the recent developments on long time behaviors of solutions of (viscous) Hamilton–Jacobi equations due to Namah (1996 Namah , G. ( 1996 ). Asymptotic solution of a Hamilton–Jacobi equation . Asymptotic Anal. 12 ( 4 ): 355 – 370 . [CSA] [Web of Science ®] , [Google Scholar]), Namah and Roquejoffre (1999 Namah , G. , Roquejoffre , J.-M . ( 1999 ). Remarks on the long-time behavior of the solutions of Hamilton–Jacobi equations . Comm. PDE 24 ( 5–6 ): 883 – 893 . [CSA] [Taylor & Francis Online], [Web of Science ®] , [Google Scholar]), Roquejoffre (1998 Roquejoffre , J.-M . ( 1998 ). Comportement asymptotique des solutions d’équations de Hamilton–Jacobi monodimensionnelles . C. R. Acad. Sci. Paris Sér. I Math. 326 ( 2 ): 185 – 189 . [CSA] [Crossref] , [Google Scholar]), Fathi (1998 Fathi , A. ( 1998 ). Sur la convergence du semi-groupe de Lax–Oleinik semigroup . C. R. Acad. Sci. Paris Sér. I Math. 327 ( 3 ): 267 – 270 . [CSA] [Crossref] , [Google Scholar]), Barles and Souganidis (2000 Barles , G. , Souganidis , P. E. ( 2000 ). On the large time behavior of solutions of Hamilton–Jacobi equaitons . SIAM J. Math. Anal. 31 ( 4 ): 925 – 939 . [CSA] [CROSSREF] [Crossref], [Web of Science ®] , [Google Scholar] 2001 Barles , G. , Souganidis , P. E. ( 2001 ). Space-time periodic solutions and long-time behavior of solutions to quasi-periodic parabolic equations . SIAM J. Math. Anal. 32 ( 6 ): 1311 – 1323 . [CSA] [CROSSREF] [Crossref], [Web of Science ®] , [Google Scholar]). We also establish existence and uniqueness results for solutions of the Cauchy problem and ergodic problem for semilinear parabolic equations with the Ornstein–Uhlenbeck operator.      20. Finite speed of propagation and off-diagonal bounds for Ornstein–Uhlenbeck operators in infinite dimensions      Jan van Neerven  Pierre Portal 《Annali di Matematica Pura ed Applicata》2016,195(6):1889-1915

Volterra-type Ornstein–Uhlenbeck processes in space and time

We propose a novel class of temporo-spatial Ornstein–Uhlenbeck processes as solutions to Lévy-driven Volterra equations with additive noise and multiplicative drift. After formulating conditions for the existence and uniqueness of solutions, we derive an explicit solution formula and discuss distributional properties such as stationarity, second-order structure and short versus long memory. Furthermore, we analyze in detail the path properties of the solution process. In particular, we introduce different notions of càdlàg paths in space and time and establish conditions for the existence of versions with these regularity properties. The theoretical results are accompanied by illustrative examples.     

On the small time behavior of Ornstein–Uhlenbeck processes with unbounded linear drifts

In this paper, we study the small time behavior of Ornstein–Ulenbeck processes with unbounded linear drifts on Hilbert spaces. The large deviations estimates are obtained. The general theory of Dirichlet forms, Lyons–Zheng′s decompositions and the convolution representation of the processes play an important role. Received: 12 February 1997 / Revised version: 27 November 1998     

A Note on time regularity of generalized Ornstein–Uhlenbeck processes with cylindrical stable noise

A necessary and sufficient condition of càdlàg modification of Ornstein–Uhlenbeck process with cylindrical stable noise in a Hilbert space is given in this Note. Applying this result, some questions in Time irregularity of generalized Ornstein–Uhlenbeck processes [C. R. Acad. Sci. Paris, Ser. I 348 (2010) 273–276] and Structural properties of semilinear SPDEs driven by cylindrical stable process [Probab. Theory Related Fields 149 (2011) 97–137] are answered.     

The first passage time density of Ornstein–Uhlenbeck process with continuous and impulsive excitations

The first passage time of the Ornstein–Uhlenbeck process plays a prototype role in various noise-induced escape problems. In order to calculate the first passage time density of the Ornstein–Uhlenbeck process modulated by continuous and impulsive periodic excitations using the second kind Volterra integral equation method, we adopt an approximation scheme of approaching Dirac delta function by alpha function to transform the involved discontinuous dynamical threshold into a smooth one. It is proven that the first passage time of the approximate model converges to the first passage time of the original model in probability as the approximation exponent alpha tends to infinity. For given parameters, our numerical realizations further demonstrate that good approximation effect can be achieved when the approximation exponent alpha is 10.     

Multivariate generalized Ornstein–Uhlenbeck processes

De Haan and Karandikar (1989) [7] introduced generalized Ornstein–Uhlenbeck processes as one-dimensional processes _(Vt)t≥0${\left(V_t\right)}_{t\ge 0}$ which are basically characterized by the fact that for each h>0$h>0$ the equidistantly sampled process _(Vnh)n∈N0${\left(V_{nh}\right)}_{n\in {\mathbb{N}}_0}$ satisfies the random recurrence equation _Vnh=_{A(n−1)h,nhV(n−1)h}+_B(n−1)h,nh$V_{nh}=A_{(n-1)h,nh}{V}_{(n-1)h}+B_{(n-1)h,nh}$, n∈N$n\in \mathbb{N}$, where _{(A(n−1)h,nh,B(n−1)h,nh)n∈N}${(A_{(n-1)h,nh},B_{(n-1)h,nh})}_{n\in \mathbb{N}}$ is an i.i.d. sequence with positive _A0,h$A_{0,h}$ for each h>0$h>0$. We generalize this concept to a multivariate setting and use it to define multivariate generalized Ornstein–Uhlenbeck (MGOU) processes which occur to be characterized by a starting random variable and some Lévy process (X,Y)$(X,Y)$ in R^m×m×R^m${\mathbb{R}}^{m\times m}\times {\mathbb{R}}^m$. The stochastic differential equation an MGOU process satisfies is also derived. We further study invariant subspaces and irreducibility of the models generated by MGOU processes and use this to give necessary and sufficient conditions for the existence of strictly stationary MGOU processes under some extra conditions.     

Phylogenetic Ornstein–Uhlenbeck regression curves

Regression curves for studying trait relationships are developed herein. The adaptive evolution model is considered as an Ornstein–Uhlenbeck system whose parameters are estimated by a novel engagement of generalized least-squares and optimization. Our algorithm is implemented to ecological data.     

Geometric Analysis on Ornstein–Uhlenbeck Operators with Quadratic Potentials

In this paper, we study Ornstein–Uhlenbeck operators with quadratic potentials. We use Hamiltonian formalism to characterize the singularities produced by the potentials by finding explicit geodesics which are induced by the operators. Then we obtain the heat kernels via a probabilistic ansatz. All the formulae are closed.     

Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models

We characterize Ornstein–Uhlenbeck processes time changed with additive subordinators as time-inhomogeneous Markov semimartingales, based on which a new class of commodity derivative models is developed. Our models are tractable for pricing European, Bermudan and American futures options. Calibration examples show that they can be better alternatives than those developed in Li and Linetsky (2012)  [6]. Our method can be applied to many other processes popular in various areas besides finance to develop time-inhomogeneous Markov processes with desirable features and tractability.     

Spectrum and pseudospectrum of non-self-adjoint Schrödinger operators with periodic coefficients

We consider the pseudospectrum of the non-self-adjoint operator $$\mathfrak{D} = - h^2 \frac{{d^2 }}{{dx^2 }} + iV(x)$$ , where V(x) is a periodic entire analytic function, real on the real axis, with a real period T. In this operator, h is treated as a small parameter. We show that the pseudospectrum of this operator is the closure of its numerical image, i.e., a half-strip in ?. In this case, the pseudoeigenfunctions, i.e., the functions ?(h, x) satisfying the condition $$\left\| {\mathfrak{D}\varphi - \lambda \varphi } \right\| = O(h^N ), \left\| \varphi \right\| = 1, N \in \mathbb{N}$$ , can be constructed explicitly. Thus, it turns out that the pseudospectrum of the operator under study is much wider than its spectrum.     

Ornstein–Uhlenbeck process,Cauchy process,and Ornstein–Uhlenbeck–Cauchy process on a circle

By a simple mathematical method, we obtain the transition probability density functions of the Ornstein–Uhlenbeck process, Cauchy process, and Ornstein–Uhlenbeck–Cauchy process on a circle.     

Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility

We propose a non-Gaussian operator-valued extension of the Barndorff-Nielsen and Shephard stochastic volatility dynamics, defined as the square-root of an operator-valued Ornstein–Uhlenbeck process with Lévy noise and bounded drift. We derive conditions for the positive definiteness of the Ornstein–Uhlenbeck process, where in particular we must restrict to operator-valued Lévy processes with “non-decreasing paths”. It turns out that the volatility model allows for an explicit calculation of its characteristic function, showing an affine structure. We introduce another Hilbert space-valued Ornstein–Uhlenbeck process with Wiener noise perturbed by this class of stochastic volatility dynamics. Under a strong commutativity condition between the covariance operator of the Wiener process and the stochastic volatility, we can derive an analytical expression for the characteristic functional of the Ornstein–Uhlenbeck process perturbed by stochastic volatility if the noises are independent. The case of operator-valued compound Poisson processes as driving noise in the volatility is discussed as a particular example of interest. We apply our results to futures prices in commodity markets, where we discuss our proposed stochastic volatility model in light of ambit fields.     

Harnack Inequalities and Applications for Ornstein–Uhlenbeck Semigroups with Jump

The Harnack inequality established in Röckner and Wang (J Funct Anal 203:237–261, 2003) for generalized Mehler semigroup is improved and generalized. As applications, the log-Harnack inequality, the strong Feller property, the hyper-bounded property, and some heat kernel inequalities are presented for a class of O-U type semigroups with jump. These inequalities and semigroup properties are indeed equivalent, and thus sharp, for the Gaussian case. As an application of the log-Harnack inequality, the HWI inequality is established for the Gaussian case. Perturbations with linear growth are also investigated.     

Commuting Krichever–Novikov differential operators with polynomial coefficients

Under study are some commuting rank 2 differential operators with polynomial coefficients. We prove that, for every spectral curve of the form w² = z³+c₂z2+c₁z+c₀ with arbitrary coefficients c_i, there exist commuting nonselfadjoint operators of orders 4 and 6 with polynomial coefficients of arbitrary degree.     

Asymptotic Solutions of Viscous Hamilton–Jacobi Equations with Ornstein–Uhlenbeck Operator

We study the long time behavior of solutions of the Cauchy problem for semilinear parabolic equations with the Ornstein–Uhlenbeck operator in ? ^N . The long time behavior in the main results is stated with help of the corresponding to ergodic problem, which complements, in the case of unbounded domains, the recent developments on long time behaviors of solutions of (viscous) Hamilton–Jacobi equations due to Namah (1996 Namah , G. ( 1996 ). Asymptotic solution of a Hamilton–Jacobi equation . Asymptotic Anal. 12 ( 4 ): 355 – 370 . [CSA] [Web of Science ®] , [Google Scholar]), Namah and Roquejoffre (1999 Namah , G. , Roquejoffre , J.-M . ( 1999 ). Remarks on the long-time behavior of the solutions of Hamilton–Jacobi equations . Comm. PDE 24 ( 5–6 ): 883 – 893 . [CSA] [Taylor & Francis Online], [Web of Science ®] , [Google Scholar]), Roquejoffre (1998 Roquejoffre , J.-M . ( 1998 ). Comportement asymptotique des solutions d’équations de Hamilton–Jacobi monodimensionnelles . C. R. Acad. Sci. Paris Sér. I Math. 326 ( 2 ): 185 – 189 . [CSA] [Crossref] , [Google Scholar]), Fathi (1998 Fathi , A. ( 1998 ). Sur la convergence du semi-groupe de Lax–Oleinik semigroup . C. R. Acad. Sci. Paris Sér. I Math. 327 ( 3 ): 267 – 270 . [CSA] [Crossref] , [Google Scholar]), Barles and Souganidis (2000 Barles , G. , Souganidis , P. E. ( 2000 ). On the large time behavior of solutions of Hamilton–Jacobi equaitons . SIAM J. Math. Anal. 31 ( 4 ): 925 – 939 . [CSA] [CROSSREF] [Crossref], [Web of Science ®] , [Google Scholar] 2001 Barles , G. , Souganidis , P. E. ( 2001 ). Space-time periodic solutions and long-time behavior of solutions to quasi-periodic parabolic equations . SIAM J. Math. Anal. 32 ( 6 ): 1311 – 1323 . [CSA] [CROSSREF] [Crossref], [Web of Science ®] , [Google Scholar]). We also establish existence and uniqueness results for solutions of the Cauchy problem and ergodic problem for semilinear parabolic equations with the Ornstein–Uhlenbeck operator.