Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes
نویسندگان
چکیده
منابع مشابه
Exact propagator for generalized Ornstein-Uhlenbeck processes.
A closed form expression for the propagator is derived, in terms of modified Bessel functions, for the Fokker-Planck equation for a physically important generalization of the Ornstein-Uhlenbeck process where the diffusion constant D(p) is a function of the momentum. The closed form is found for the general case D(p) approximately |p|(-alpha) where alpha > or =0 and leads to the standard Gaussia...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 1996
ISSN: 0898-1221
DOI: 10.1016/0898-1221(96)00060-0