Ornstein–Uhlenbeck process (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Ornstein–Uhlenbeck process" in English language version.

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12doi.org

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11worldcat.org

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6semanticscholar.org

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6nih.gov

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5arxiv.org

69^th place

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4harvard.edu

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1jstor.org

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1nyu.edu

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1princeton.edu

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1sunysb.edu

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1unimelb.edu.au

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1risk.net

low place

1consob.it

low place

arxiv.org

Nørrelykke & Flyvbjerg 2011. Nørrelykke, Simon F.; Flyvbjerg, Henrik (2011-04-04). "Harmonic oscillator in heat bath: Exact simulation of time-lapse-recorded data and exact analytical benchmark statistics". Physical Review E. 83 (4): 041103. arXiv:1102.0524. Bibcode:2011PhRvE..83d1103N. doi:10.1103/physreve.83.041103. ISSN 1539-3755. PMID 21599111. S2CID 18518657.
Goerlich et al. 2021. Goerlich, Rémi; Li, Minghao; Albert, Samuel; Manfredi, Giovanni; Hervieux, Paul-Antoine; Genet, Cyriaque (2021-03-19). "Noise and ergodic properties of Brownian motion in an optical tweezer: Looking at regime crossovers in an Ornstein-Uhlenbeck process". Physical Review E. 103 (3): 032132. arXiv:2007.12246. Bibcode:2021PhRvE.103c2132G. doi:10.1103/physreve.103.032132. ISSN 2470-0045. PMID 33862817. S2CID 220768666.
Li et al. 2019. Li, Minghao; Sentissi, Oussama; Azzini, Stefano; Schnoering, Gabriel; Canaguier-Durand, Antoine; Genet, Cyriaque (2019-12-10). "Subfemtonewton force fields measured with ergodic Brownian ensembles". Physical Review A. 100 (6): 063816. arXiv:1908.00610. Bibcode:2019PhRvA.100f3816L. doi:10.1103/physreva.100.063816. ISSN 2469-9926. S2CID 199405409.
Jespersen, Metzler & Fogedby 1999. Jespersen, Sune; Metzler, Ralf; Fogedby, Hans C. (1999-03-01). "Lévy flights in external force fields: Langevin and fractional Fokker-Planck equations and their solutions". Physical Review E. 59 (3): 2736–2745. arXiv:cond-mat/9810176. Bibcode:1999PhRvE..59.2736J. doi:10.1103/physreve.59.2736. ISSN 1063-651X. S2CID 51944991.
Fink & Klüppelberg 2011. Fink, Holger; Klüppelberg, Claudia (2011-02-01). "Fractional Lévy-driven Ornstein–Uhlenbeck processes and stochastic differential equations". Bernoulli. 17 (1). arXiv:1102.1830. doi:10.3150/10-bej281. ISSN 1350-7265. S2CID 9269536.

consob.it

"The detection of Market Abuse on financial markets: a quantitative approach". Consob – The Italian Securities and Exchange Commission.

doi.org

Doob 1942. Doob, J.L. (April 1942). "The Brownian Movement and Stochastic Equations". Annals of Mathematics. 43 (2): 351–369. doi:10.2307/1968873. ISSN 0003-486X. JSTOR 1968873.
Aït-Sahalia 2002, pp. 223–262. Aït-Sahalia, Y. (April 2002). "Maximum Likelihood Estimation of Discretely Sampled Diffusion: A Closed-Form Approximation Approach". Econometrica. 70 (1): 223–262. doi:10.1111/1468-0262.00274.
Iglehart 1968. Iglehart, Donald L. (June 1968). "Limit Theorems for the Multi-urn Ehrenfest Model". The Annals of Mathematical Statistics. 39 (3): 864–876. doi:10.1214/aoms/1177698318. ISSN 0003-4851.
Nørrelykke & Flyvbjerg 2011. Nørrelykke, Simon F.; Flyvbjerg, Henrik (2011-04-04). "Harmonic oscillator in heat bath: Exact simulation of time-lapse-recorded data and exact analytical benchmark statistics". Physical Review E. 83 (4): 041103. arXiv:1102.0524. Bibcode:2011PhRvE..83d1103N. doi:10.1103/physreve.83.041103. ISSN 1539-3755. PMID 21599111. S2CID 18518657.
Goerlich et al. 2021. Goerlich, Rémi; Li, Minghao; Albert, Samuel; Manfredi, Giovanni; Hervieux, Paul-Antoine; Genet, Cyriaque (2021-03-19). "Noise and ergodic properties of Brownian motion in an optical tweezer: Looking at regime crossovers in an Ornstein-Uhlenbeck process". Physical Review E. 103 (3): 032132. arXiv:2007.12246. Bibcode:2021PhRvE.103c2132G. doi:10.1103/physreve.103.032132. ISSN 2470-0045. PMID 33862817. S2CID 220768666.
Li et al. 2019. Li, Minghao; Sentissi, Oussama; Azzini, Stefano; Schnoering, Gabriel; Canaguier-Durand, Antoine; Genet, Cyriaque (2019-12-10). "Subfemtonewton force fields measured with ergodic Brownian ensembles". Physical Review A. 100 (6): 063816. arXiv:1908.00610. Bibcode:2019PhRvA.100f3816L. doi:10.1103/physreva.100.063816. ISSN 2469-9926. S2CID 199405409.
Martins 1994, pp. 193–209. Martins, Emilia P. (1994). "Estimating the Rate of Phenotypic Evolution from Comparative Data". The American Naturalist. 144 (2): 193–209. doi:10.1086/285670. ISSN 0003-0147. S2CID 85300707.
Hunt 2007. Hunt, G. (2007-11-14). "The relative importance of directional change, random walks, and stasis in the evolution of fossil lineages". Proceedings of the National Academy of Sciences. 104 (47): 18404–18408. doi:10.1073/pnas.0704088104. ISSN 0027-8424. PMC 2141789. PMID 18003931.
Cornuault 2022. Cornuault, Josselin (2022). "Bayesian Analyses of Comparative Data with the Ornstein–Uhlenbeck Model: Potential Pitfalls". Systematic Biology. 71 (6): 1524–1540. doi:10.1093/sysbio/syac036. PMC 9558839. PMID 35583306.
Jespersen, Metzler & Fogedby 1999. Jespersen, Sune; Metzler, Ralf; Fogedby, Hans C. (1999-03-01). "Lévy flights in external force fields: Langevin and fractional Fokker-Planck equations and their solutions". Physical Review E. 59 (3): 2736–2745. arXiv:cond-mat/9810176. Bibcode:1999PhRvE..59.2736J. doi:10.1103/physreve.59.2736. ISSN 1063-651X. S2CID 51944991.
Fink & Klüppelberg 2011. Fink, Holger; Klüppelberg, Claudia (2011-02-01). "Fractional Lévy-driven Ornstein–Uhlenbeck processes and stochastic differential equations". Bernoulli. 17 (1). arXiv:1102.1830. doi:10.3150/10-bej281. ISSN 1350-7265. S2CID 9269536.
Chan et al. 1992. Chan, K. C.; Karolyi, G. A.; Longstaff, F. A.; Sanders, A. B. (1992). "An empirical comparison of alternative models of the short-term interest rate". Journal of Finance. 47 (3): 1209–1227. doi:10.1111/j.1540-6261.1992.tb04011.x.

harvard.edu

ui.adsabs.harvard.edu

Nørrelykke & Flyvbjerg 2011. Nørrelykke, Simon F.; Flyvbjerg, Henrik (2011-04-04). "Harmonic oscillator in heat bath: Exact simulation of time-lapse-recorded data and exact analytical benchmark statistics". Physical Review E. 83 (4): 041103. arXiv:1102.0524. Bibcode:2011PhRvE..83d1103N. doi:10.1103/physreve.83.041103. ISSN 1539-3755. PMID 21599111. S2CID 18518657.
Goerlich et al. 2021. Goerlich, Rémi; Li, Minghao; Albert, Samuel; Manfredi, Giovanni; Hervieux, Paul-Antoine; Genet, Cyriaque (2021-03-19). "Noise and ergodic properties of Brownian motion in an optical tweezer: Looking at regime crossovers in an Ornstein-Uhlenbeck process". Physical Review E. 103 (3): 032132. arXiv:2007.12246. Bibcode:2021PhRvE.103c2132G. doi:10.1103/physreve.103.032132. ISSN 2470-0045. PMID 33862817. S2CID 220768666.
Li et al. 2019. Li, Minghao; Sentissi, Oussama; Azzini, Stefano; Schnoering, Gabriel; Canaguier-Durand, Antoine; Genet, Cyriaque (2019-12-10). "Subfemtonewton force fields measured with ergodic Brownian ensembles". Physical Review A. 100 (6): 063816. arXiv:1908.00610. Bibcode:2019PhRvA.100f3816L. doi:10.1103/physreva.100.063816. ISSN 2469-9926. S2CID 199405409.
Jespersen, Metzler & Fogedby 1999. Jespersen, Sune; Metzler, Ralf; Fogedby, Hans C. (1999-03-01). "Lévy flights in external force fields: Langevin and fractional Fokker-Planck equations and their solutions". Physical Review E. 59 (3): 2736–2745. arXiv:cond-mat/9810176. Bibcode:1999PhRvE..59.2736J. doi:10.1103/physreve.59.2736. ISSN 1063-651X. S2CID 51944991.

jstor.org

Doob 1942. Doob, J.L. (April 1942). "The Brownian Movement and Stochastic Equations". Annals of Mathematics. 43 (2): 351–369. doi:10.2307/1968873. ISSN 0003-486X. JSTOR 1968873.

nih.gov

pubmed.ncbi.nlm.nih.gov

Nørrelykke & Flyvbjerg 2011. Nørrelykke, Simon F.; Flyvbjerg, Henrik (2011-04-04). "Harmonic oscillator in heat bath: Exact simulation of time-lapse-recorded data and exact analytical benchmark statistics". Physical Review E. 83 (4): 041103. arXiv:1102.0524. Bibcode:2011PhRvE..83d1103N. doi:10.1103/physreve.83.041103. ISSN 1539-3755. PMID 21599111. S2CID 18518657.
Goerlich et al. 2021. Goerlich, Rémi; Li, Minghao; Albert, Samuel; Manfredi, Giovanni; Hervieux, Paul-Antoine; Genet, Cyriaque (2021-03-19). "Noise and ergodic properties of Brownian motion in an optical tweezer: Looking at regime crossovers in an Ornstein-Uhlenbeck process". Physical Review E. 103 (3): 032132. arXiv:2007.12246. Bibcode:2021PhRvE.103c2132G. doi:10.1103/physreve.103.032132. ISSN 2470-0045. PMID 33862817. S2CID 220768666.
Hunt 2007. Hunt, G. (2007-11-14). "The relative importance of directional change, random walks, and stasis in the evolution of fossil lineages". Proceedings of the National Academy of Sciences. 104 (47): 18404–18408. doi:10.1073/pnas.0704088104. ISSN 0027-8424. PMC 2141789. PMID 18003931.
Cornuault 2022. Cornuault, Josselin (2022). "Bayesian Analyses of Comparative Data with the Ornstein–Uhlenbeck Model: Potential Pitfalls". Systematic Biology. 71 (6): 1524–1540. doi:10.1093/sysbio/syac036. PMC 9558839. PMID 35583306.

ncbi.nlm.nih.gov

Hunt 2007. Hunt, G. (2007-11-14). "The relative importance of directional change, random walks, and stasis in the evolution of fossil lineages". Proceedings of the National Academy of Sciences. 104 (47): 18404–18408. doi:10.1073/pnas.0704088104. ISSN 0027-8424. PMC 2141789. PMID 18003931.
Cornuault 2022. Cornuault, Josselin (2022). "Bayesian Analyses of Comparative Data with the Ornstein–Uhlenbeck Model: Potential Pitfalls". Systematic Biology. 71 (6): 1524–1540. doi:10.1093/sysbio/syac036. PMC 9558839. PMID 35583306.

nyu.edu

cims.nyu.edu

Holmes-Cerfon, Miranda (2022). "Lecture 12: Detailed balance and Eigenfunction methods" (PDF).

princeton.edu

web.math.princeton.edu

Nelson 1967. Nelson, Edward (1967). Dynamical theories of Brownian motion (PDF). Princeton, N.J.: Princeton University Press. ISBN 0-691-07950-1. OCLC 769464.

risk.net

"Detecting Market Abuse". Risk Magazine. 2 November 2004.

semanticscholar.org

api.semanticscholar.org

Nørrelykke & Flyvbjerg 2011. Nørrelykke, Simon F.; Flyvbjerg, Henrik (2011-04-04). "Harmonic oscillator in heat bath: Exact simulation of time-lapse-recorded data and exact analytical benchmark statistics". Physical Review E. 83 (4): 041103. arXiv:1102.0524. Bibcode:2011PhRvE..83d1103N. doi:10.1103/physreve.83.041103. ISSN 1539-3755. PMID 21599111. S2CID 18518657.
Goerlich et al. 2021. Goerlich, Rémi; Li, Minghao; Albert, Samuel; Manfredi, Giovanni; Hervieux, Paul-Antoine; Genet, Cyriaque (2021-03-19). "Noise and ergodic properties of Brownian motion in an optical tweezer: Looking at regime crossovers in an Ornstein-Uhlenbeck process". Physical Review E. 103 (3): 032132. arXiv:2007.12246. Bibcode:2021PhRvE.103c2132G. doi:10.1103/physreve.103.032132. ISSN 2470-0045. PMID 33862817. S2CID 220768666.
Li et al. 2019. Li, Minghao; Sentissi, Oussama; Azzini, Stefano; Schnoering, Gabriel; Canaguier-Durand, Antoine; Genet, Cyriaque (2019-12-10). "Subfemtonewton force fields measured with ergodic Brownian ensembles". Physical Review A. 100 (6): 063816. arXiv:1908.00610. Bibcode:2019PhRvA.100f3816L. doi:10.1103/physreva.100.063816. ISSN 2469-9926. S2CID 199405409.
Martins 1994, pp. 193–209. Martins, Emilia P. (1994). "Estimating the Rate of Phenotypic Evolution from Comparative Data". The American Naturalist. 144 (2): 193–209. doi:10.1086/285670. ISSN 0003-0147. S2CID 85300707.
Jespersen, Metzler & Fogedby 1999. Jespersen, Sune; Metzler, Ralf; Fogedby, Hans C. (1999-03-01). "Lévy flights in external force fields: Langevin and fractional Fokker-Planck equations and their solutions". Physical Review E. 59 (3): 2736–2745. arXiv:cond-mat/9810176. Bibcode:1999PhRvE..59.2736J. doi:10.1103/physreve.59.2736. ISSN 1063-651X. S2CID 51944991.
Fink & Klüppelberg 2011. Fink, Holger; Klüppelberg, Claudia (2011-02-01). "Fractional Lévy-driven Ornstein–Uhlenbeck processes and stochastic differential equations". Bernoulli. 17 (1). arXiv:1102.1830. doi:10.3150/10-bej281. ISSN 1350-7265. S2CID 9269536.

sunysb.edu

cs.sunysb.edu

Advantages of Pair Trading: Market Neutrality

unimelb.edu.au

ms.unimelb.edu.au

An Ornstein–Uhlenbeck Framework for Pairs Trading

worldcat.org

search.worldcat.org

Doob 1942. Doob, J.L. (April 1942). "The Brownian Movement and Stochastic Equations". Annals of Mathematics. 43 (2): 351–369. doi:10.2307/1968873. ISSN 0003-486X. JSTOR 1968873.
Kloeden, Platen & Schurz 1994. Kloeden, Peter E.; Platen, Eckhard; Schurz, Henri (1994). Numerical solution of SDE through computer experiments. Berlin: Springer-Verlag. ISBN 3-540-57074-8. OCLC 29788831.
Iglehart 1968. Iglehart, Donald L. (June 1968). "Limit Theorems for the Multi-urn Ehrenfest Model". The Annals of Mathematical Statistics. 39 (3): 864–876. doi:10.1214/aoms/1177698318. ISSN 0003-4851.
Nørrelykke & Flyvbjerg 2011. Nørrelykke, Simon F.; Flyvbjerg, Henrik (2011-04-04). "Harmonic oscillator in heat bath: Exact simulation of time-lapse-recorded data and exact analytical benchmark statistics". Physical Review E. 83 (4): 041103. arXiv:1102.0524. Bibcode:2011PhRvE..83d1103N. doi:10.1103/physreve.83.041103. ISSN 1539-3755. PMID 21599111. S2CID 18518657.
Goerlich et al. 2021. Goerlich, Rémi; Li, Minghao; Albert, Samuel; Manfredi, Giovanni; Hervieux, Paul-Antoine; Genet, Cyriaque (2021-03-19). "Noise and ergodic properties of Brownian motion in an optical tweezer: Looking at regime crossovers in an Ornstein-Uhlenbeck process". Physical Review E. 103 (3): 032132. arXiv:2007.12246. Bibcode:2021PhRvE.103c2132G. doi:10.1103/physreve.103.032132. ISSN 2470-0045. PMID 33862817. S2CID 220768666.
Li et al. 2019. Li, Minghao; Sentissi, Oussama; Azzini, Stefano; Schnoering, Gabriel; Canaguier-Durand, Antoine; Genet, Cyriaque (2019-12-10). "Subfemtonewton force fields measured with ergodic Brownian ensembles". Physical Review A. 100 (6): 063816. arXiv:1908.00610. Bibcode:2019PhRvA.100f3816L. doi:10.1103/physreva.100.063816. ISSN 2469-9926. S2CID 199405409.
Nelson 1967. Nelson, Edward (1967). Dynamical theories of Brownian motion (PDF). Princeton, N.J.: Princeton University Press. ISBN 0-691-07950-1. OCLC 769464.
Martins 1994, pp. 193–209. Martins, Emilia P. (1994). "Estimating the Rate of Phenotypic Evolution from Comparative Data". The American Naturalist. 144 (2): 193–209. doi:10.1086/285670. ISSN 0003-0147. S2CID 85300707.
Hunt 2007. Hunt, G. (2007-11-14). "The relative importance of directional change, random walks, and stasis in the evolution of fossil lineages". Proceedings of the National Academy of Sciences. 104 (47): 18404–18408. doi:10.1073/pnas.0704088104. ISSN 0027-8424. PMC 2141789. PMID 18003931.
Jespersen, Metzler & Fogedby 1999. Jespersen, Sune; Metzler, Ralf; Fogedby, Hans C. (1999-03-01). "Lévy flights in external force fields: Langevin and fractional Fokker-Planck equations and their solutions". Physical Review E. 59 (3): 2736–2745. arXiv:cond-mat/9810176. Bibcode:1999PhRvE..59.2736J. doi:10.1103/physreve.59.2736. ISSN 1063-651X. S2CID 51944991.
Fink & Klüppelberg 2011. Fink, Holger; Klüppelberg, Claudia (2011-02-01). "Fractional Lévy-driven Ornstein–Uhlenbeck processes and stochastic differential equations". Bernoulli. 17 (1). arXiv:1102.1830. doi:10.3150/10-bej281. ISSN 1350-7265. S2CID 9269536.