Duals and time-reversed flows of generalized Ornstein-Uhlenbeck processes
Duals and time-reversed flows of generalized Ornstein-Uhlenbeck processes
We derive explicit representations for the (Siegmund-) dual and the time-reversed flow of generalized Ornstein-Uhlenbeck processes whenever these exist. It turns out that the dual and the process corresponding to the reversed stochastic flow are again generalized Ornstein-Uhlenbeck processes. Further, we observe that the stationary distribution of the dual process provides information about the hitting time of zero of the original process.
Anita Behme、Henriette E. Heinrich、Alexander Lindner
数学
Anita Behme,Henriette E. Heinrich,Alexander Lindner.Duals and time-reversed flows of generalized Ornstein-Uhlenbeck processes[EB/OL].(2025-04-07)[2025-04-26].https://arxiv.org/abs/2504.05157.点此复制
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