Optimal control of an Ornstein-Uhlenbeck process
نویسندگان
چکیده
منابع مشابه
Ornstein - Uhlenbeck Process
Also, a process {Yt : t ≥ 0} is said to have independent increments if, for all t0 < t1 < . . . < tn, the n random variables Yt1 − Yt0 , Yt2 − Yt1 , ..., Ytn − Ytn−1 are independent. This condition implies that {Yt : t ≥ 0} is Markovian, but not conversely. The increments are further said to be stationary if, for any t > s and h > 0, the distribution of Yt+h− Ys+h is the same as the distributio...
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Langevin-like equations have been studied in the presence of arbitrary noise. The characteristic functional of the generalized Langevin process has been built up. Exact results for all cumulants are given. Particular stress has been put on the Campbell, dichotomous and radioactive decay noises. Transient relaxation, susceptibility and diffusion constants for different (noisy) media have been sk...
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Also, a process {Yt : t ≥ 0} is said to have independent increments if, for all t0 < t1 < . . . < tn, the n random variables Yt1 − Yt0 , Yt2 − Yt1 , ..., Ytn − Ytn−1 are independent. This condition implies that {Yt : t ≥ 0} is Markovian, but not conversely. The increments are further said to be stationary if, for any t > s and h > 0, the distribution of Yt+h− Ys+h is the same as the distributio...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1987
ISSN: 0304-4149
DOI: 10.1016/0304-4149(87)90030-5