Analysis of Ornstein-Uhlenbeck and Laguerre Stochastic Processes - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Séminaires et congrès Année : 2012

Analysis of Ornstein-Uhlenbeck and Laguerre Stochastic Processes

(1) , (1)


The objective of these lectures is to present Ornstein-Uhlenbeck and related stochastic processes to a wide mathematical audience with a modest preparation in stochastic analysis. The aim of the first part of the lectures (Chapter 1) is to discuss the Ornstein-Uhlenbeck and the Squared Radial Ornstein-Uhlenbeck stochastic diffusion processes, whose infinitesimal generators are, respectively, the Ornstein-Uhlenbeck operator and the Laguerre operator. In the second chapter of these lectures the Ornstein-Uhlenbeck processes governed by -stable rotationally invariant processes are studied. This corresponds to replacing the Laplacian by the fractionnary Laplacian -(-)^/2 in the Ornstein-Uhlenbeck generator L=12-x. More general drift terms b(x) are also considered at the end of Chapter 2.[2mm]

Fichier non déposé

Dates et versions

hal-03040206 , version 1 (04-12-2020)


  • HAL Id : hal-03040206 , version 1
  • OKINA : ua124


Piotr Graczyk, Tomasz Jakubowski. Analysis of Ornstein-Uhlenbeck and Laguerre Stochastic Processes. Séminaires et congrès, 2012, 25, pp.195 - 249. ⟨hal-03040206⟩
13 Consultations
0 Téléchargements


Gmail Facebook Twitter LinkedIn More