Ornstein–Uhlenbeck process driven by Lévy noise
GPTKB entity
Statements (18)
Predicate | Object |
---|---|
gptkbp:instanceOf |
gptkb:stochastic_process
|
gptkbp:generalizes |
gptkb:Ornstein–Uhlenbeck_process
|
gptkbp:hasComponent |
gptkb:Ornstein–Uhlenbeck_process
gptkb:Lévy_noise |
gptkbp:hasModel |
jump processes
mean-reverting behavior |
gptkbp:hasProperty |
gptkb:Markov_property
stationary increments |
gptkbp:hasSpecialCase |
gptkb:Lévy-driven_stochastic_differential_equation
|
https://www.w3.org/2000/01/rdf-schema#label |
Ornstein–Uhlenbeck process driven by Lévy noise
|
gptkbp:parameter |
gptkb:Lévy_process_L_t
θ (rate of mean reversion) |
gptkbp:reduces |
classical Ornstein–Uhlenbeck process when L_t is Brownian motion
|
gptkbp:satisfiesEquation |
dX_t = -θ X_t dt + dL_t
|
gptkbp:usedIn |
mathematical finance
statistical physics |
gptkbp:bfsParent |
gptkb:stochastic_process
|
gptkbp:bfsLayer |
4
|