Email this article Hyperbolic Ornstein–Uhlenbeck Process
- Authors: Borodin A.N.1
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Affiliations:
- St.Petersburg Department of the Steklov Mathematical Institute, St.Petersburg State University
- Issue: Vol 219, No 5 (2016)
- Pages: 631-638
- Section: Article
- URL: https://ogarev-online.ru/1072-3374/article/view/238643
- DOI: https://doi.org/10.1007/s10958-016-3135-0
- ID: 238643
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Abstract
In this paper, we continue the study of the class of hypergeometric diffusions started by the author. A broad subclass of these diffusions consists of hyperbolic Ornstein–Uhlenbeck processes. An explicit formula for the transition density of a hyperbolic Ornstein–Uhlenbeck process is derived. Bibliography: 7 titles.
About the authors
A. N. Borodin
St.Petersburg Department of the Steklov Mathematical Institute, St.Petersburg State University
Author for correspondence.
Email: borodin@pdmi.ras.ru
Russian Federation, St.Petersburg
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