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On the Generalized Ornstein–Ulenbeck Process

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Abstract

The model generalized Ornstein–Ulenbeck process is developed on the basis of the anomalous-diffusion nature of random walk. Asymptotics of the basic statistical characteristics of this process are found. It is shown that the asymptotics are governed by the classical or anomalous diffusion laws if the central limit theorem is fulfilled or violated, respectively.

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Authors and Affiliations

  1. N. I. Lobachevsky State University, Nizhny Novgorod, Russia

    A. I. Saichev & S. G. Utkin

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  1. A. I. Saichev
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  2. S. G. Utkin
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Saichev, A.I., Utkin, S.G. On the Generalized Ornstein–Ulenbeck Process. Radiophysics and Quantum Electronics 47, 145–148 (2004). https://doi.org/10.1023/B:RAQE.0000035696.97099.0f

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  • DOI: https://doi.org/10.1023/B:RAQE.0000035696.97099.0f

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