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Electronic Journal of Differential Equations
(Mar 2023)
Determining the background driving process of the Ornstein-Uhlenbeck model
Maria C. Mariani,
Peter K. Asante,
William Kubin,
Osei K. Tweneboah,
Maria Beccar-Varela
Affiliations
Maria C. Mariani
Univ. of Texas, El Paso, TX, USA
Peter K. Asante
Univ. of Texas, El Paso, TX, USA
William Kubin
Univ. of Texas, El Paso, TX, USA
Osei K. Tweneboah
Ramapo College, New Jersey, NJ, USA
Maria Beccar-Varela
Univ. of Texas, El Paso, TX, USA
Journal volume & issue
Vol. Special Issues, no. 02
pp. 193 – 207
Abstract
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No abstracts available.
Keywords
stochastic differential equation
ito calculus
levy process
ornstein-uhlenbeck model
superposed ornstein-uhlenbeck model
gaussian process
background driving process (bdp)
diffusion entropy analysis (dea)
long-range correlations
detrended fluctuation analysis (dfa)
rescaled range analysis (r/s)
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