












Abstract:We derive explicit representations for the (Siegmund) dual and the inverse flow of generalized Ornstein-Uhlenbeck processes whenever these exist. It turns out that the dual and the process corresponding to the inverse 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.
From: Henriette Heinrich [view email]
[v1]
Mon, 7 Apr 2025 15:00:10 UTC (15 KB)
[v2]
Thu, 10 Apr 2025 12:37:35 UTC (15 KB)
[v3]
Wed, 9 Jul 2025 17:29:04 UTC (16 KB)
[v4]
Fri, 27 Feb 2026 15:06:31 UTC (29 KB)
[v5]
Tue, 4 Aug 2026 14:16:53 UTC (27 KB)
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。