Data Analysis Using a Coupled System of Ornstein–Uhlenbeck Equations Driven by Lévy Processes

Data Analysis Using a Coupled System of Ornstein–Uhlenbeck Equations Driven by Lévy Processes

In this work, we have analyzed data sets from various fields using a coupled Ornstein–Uhlenbeck (OU) system of equations driven by Lévy processes. The Ornstein–Uhlenbeck model is well known for its ability to capture stochastic behaviors when used as a predictive model. There’s empirical evidence sh...

Full description

Bibliographic Details
Main Authors: Maria C. Mariani, Peter K. Asante, William Kubin, Osei K. Tweneboah
Format: Article
Language:English
Published: MDPI AG 2022-04-01
Series:Axioms
Subjects:
Ornstein–Uhlenbeck equation
background driving Lévy process
gamma process
inverse Gaussian process
coupled system
sample paths
Online Access:https://www.mdpi.com/2075-1680/11/4/160

Internet

https://www.mdpi.com/2075-1680/11/4/160

Similar Items