About: Ornstein–Uhlenbeck process

Facets (new session)
Description
Metadata
Settings
- Rule:
- Inverse Functional Properties:
- "Same As":

About: Ornstein–Uhlenbeck process Goto Sponge NotDistinct Permalink

An Entity of Type : yago:WikicatDifferentialEquations, within Data Space : dbpedia.org associated with source document(s)
QRcode icon

http://dbpedia.org/describe/?url=http%3A%2F%2Fdbpedia.org%2Fresource%2FOrnstein%E2%80%93Uhlenbeck_process

In mathematics, the Ornstein–Uhlenbeck process is a stochastic process with applications in financial mathematics and the physical sciences. Its original application in physics was as a model for the velocity of a massive Brownian particle under the influence of friction. It is named after Leonard Ornstein and George Eugene Uhlenbeck.

Attributes	Values
rdf:type	Thing yago:WikicatStochasticDifferentialEquations yago:WikicatStochasticProcesses yago:Abstraction100002137 yago:Cognition100023271 yago:Communication100033020 yago:Concept105835747 yago:Content105809192 yago:DifferentialEquation106670521 yago:Equation106669864 yago:Hypothesis105888929 yago:Idea105833840 yago:MathematicalStatement106732169 yago:Message106598915 yago:Model105890249 yago:PsychologicalFeature100023100 Election yago:Statement106722453 yago:StochasticProcess113561896 yago:WikicatDifferentialEquations
rdfs:label	Ornstein-Uhlenbeck-Prozess (de) Processus d'Ornstein-Uhlenbeck (fr) オルンシュタイン＝ウーレンベック過程 (ja) Ornstein–Uhlenbeck process (en) Ornstein-Uhlenbeckproces (nl) Processo Ornstein–Uhlenbeck (pt) 奥恩斯坦-乌伦贝克过程 (zh)
rdfs:comment	Der Ornstein-Uhlenbeck-Prozess (oft abgekürzt OU-Prozess oder noch kürzer O-U) ist ein spezieller stochastischer Prozess, welcher nach den beiden niederländischen Physikern George Uhlenbeck (1900–1988) und Leonard Ornstein (1880–1941) benannt ist. Er ist neben der geometrischen Brownschen Bewegung einer der einfachsten und gleichzeitig wichtigsten über eine stochastische Differentialgleichung definierten Prozesse. Im Vasicek-Modell zur Zinssatzmodellierung werden Ornstein-Uhlenbeck-Prozesse verwendet. (de) En mathématiques, le processus d'Ornstein-Uhlenbeck, nommé d'après Leonard Ornstein et George Uhlenbeck et aussi connu sous le nom de mean-reverting process, est un processus stochastique décrit par l'équation différentielle stochastique où θ, μ et σ sont des paramètres déterministes et Wt est le processus de Wiener. (fr) オルンシュタイン＝ウーレンベック過程（オルンシュタイン＝ウーレンベックかてい、英: Ornstein–Uhlenbeck process）は、とジョージ・ウーレンベックの名にちなんだ確率過程である。平均回帰過程（へいきんかいきかてい）とも呼ばれる。オルンシュタイン＝ウーレンベック過程は、以下のような確率微分方程式で与えられる確率過程{rt}である。ここで、θ, μ, σ はパラメータであり、Wt はウィーナー過程を表す。オルンシュタイン＝ウーレンベック過程は、離散時間AR(1)過程の連続時間バージョンであると言える。 (ja) 在数学中，奥恩斯坦-乌伦贝克过程（Ornstein-Uhlenbeck process，简称OU过程）是一个随机过程，在金融数学和物理学中有很多的引用。OU过程描述一个经历摩擦的布朗粒子（damped random walk）。这个过程以奥恩斯坦（Leonard Ornstein）和乔治·乌伦贝克的名字命名。这是一个自迴歸模型AR(1)。 (zh) In mathematics, the Ornstein–Uhlenbeck process is a stochastic process with applications in financial mathematics and the physical sciences. Its original application in physics was as a model for the velocity of a massive Brownian particle under the influence of friction. It is named after Leonard Ornstein and George Eugene Uhlenbeck. (en) Em matemática, mais precisamente em cálculo estocástico, o processo Ornstein–Uhlenbeck, que recebe este nome em homenagem aos físicos holandeses Leonard Ornstein e George Eugene Uhlenbeck, é um processo estocástico que, grosso modo, descreve a velocidade de uma partícula browniana sob a influência do atrito, ou seja, uma partícula com massa. O processo é um processo de Gauss–Markov estacionário, o que quer dizer que é tanto um processo de Gauss, quanto de Markov, sendo o único processo não trivial que satisfaz estas três condições, permitindo transformações lineares das variáveis do espaço e do tempo. Ao longo do tempo, o processo tende a derivar em direção a sua média a longo prazo. Tal processo é chamado de reversão à média, comportamento comumente encontrando no movimentos de preços de (pt) In de kansrekening, meer bepaald de stochastiek, is een Ornstein-Uhlenbeckproces of mean-reverting process een stochastisch proces gegeven door de volgende stochastische differentiaalvergelijking: , waarin , en parameters zijn en een Wienerproces. (nl)
differentFrom	Ornstein–Uhlenbeck operator
foaf:depiction
dcterms:subject	Variants of random walks Markov processes Stochastic differential equations
Wikipage page ID	2183186 (xsd:integer)
Wikipage revision ID	1124335800 (xsd:integer)
Link from a Wikipage to another Wikipage	Probability distribution Lévy process Vasicek model Annals of Mathematics Hooke's law Variation of parameters Itō isometry Covariance Mathematical finance Matrix exponential Maximum likelihood estimation Gaussian noise Gauss–Markov process The American Naturalist Equipartition theorem Gaussian process Green's function Variants of random walks Moment (mathematics) Leonard Ornstein Stationary process Fundamental analysis Parabolic partial differential equation White noise Langevin equation Fluctuation-dissipation theorem Diffusion Fokker–Planck equation Discrete time Relaxation (physics) Temperature Covariance function Cox–Ingersoll–Ross model Physical Review Markov processes Econometrica Wiener process Mark Kac Markov process Phenotypes Klein–Kramers equation Brownian motion Autoregressive Random walk Stochastic differential equations Lyapunov equation Mean reversion (finance) Stochastic differential equation Shock (economics) George Eugene Uhlenbeck Volatility (finance) Stochastic calculus Random walks Exchange rate Scaling limit

Faceted Search & Find service v1.17_git139 as of Feb 29 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 08.03.3330 as of Mar 19 2024, on Linux (x86_64-generic-linux-glibc212), Single-Server Edition (378 GB total memory, 67 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software