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Zapiski Nauchnykh Seminarov POMI, 2015, Volume 441, Pages 45–55 (Mi znsl6226)  
This article is cited in 1 scientific paper (total in 1 paper)

Hyperbolic Ornstein–Uhlenbeck process

A. N. Borodinab

a St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences, St. Petersburg, Russia
b St. Petersburg State University, St. Petersburg, Russia
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Abstract: The the paper we continue the investigation of the class of hypergeometric diffusions started in [1]. The wide subclass of these diffusions consists of hyperbolic Ornstein–Uhlenbeck processes. An explicit formula for the transition density of the hyperbolic Ornstein–Uhlenbeck process is derived.
Key words and phrases: stochastic processes, Ornstein–Uhlenbeck process, hyperbolic Ornstein–Uhlenbeck process.
Funding agency Grant number
Ministry of Education and Science of the Russian Federation НШ 2504.2014.1
Russian Academy of Sciences - Federal Agency for Scientific Organizations
Received: 15.10.2015
English version:
Journal of Mathematical Sciences (New York), 2016, Volume 219, Issue 5, Pages 631–638
DOI: https://doi.org/10.1007/s10958-016-3135-0
Bibliographic databases:
Document Type: Article
UDC: 519.2
Language: Russian
Citation: A. N. Borodin, “Hyperbolic Ornstein–Uhlenbeck process”, Probability and statistics. Part 22, Zap. Nauchn. Sem. POMI, 441, POMI, St. Petersburg, 2015, 45–55; J. Math. Sci. (N. Y.), 219:5 (2016), 631–638
Citation in format AMSBIB
\Bibitem{Bor15}
\by A.~N.~Borodin
\paper Hyperbolic Ornstein--Uhlenbeck process
\inbook Probability and statistics. Part~22
\serial Zap. Nauchn. Sem. POMI
\yr 2015
\vol 441
\pages 45--55
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl6226}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3504498}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2016
\vol 219
\issue 5
\pages 631--638
\crossref{https://doi.org/10.1007/s10958-016-3135-0}
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  • https://www.mathnet.ru/eng/znsl/v441/p45
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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