We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic differential equation driven by a fractional Brownian motion. For such process we specify mean and covariance functions, concentrating on their asymptotic behavior. This gives us a sort of short- or long-range dependence, under specified hypotheses on the covariance of the forcing process. Applications of this process in neuronal modeling are discussed, providing an example of a stochastic forcing term as a linear combination of Heaviside functions with random center. Simulation algorithms for the sample path of this process are given.

Fractional Ornstein-Uhlenbeck Process with Stochastic Forcing, and its Applications / Ascione, Giacomo; Mishura, Yuliya; Pirozzi, Enrica. - In: METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY. - ISSN 1387-5841. - 23:1(2021), pp. 53-84. [10.1007/s11009-019-09748-y]

Fractional Ornstein-Uhlenbeck Process with Stochastic Forcing, and its Applications

Ascione, Giacomo;Pirozzi, Enrica
2021

Abstract

We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic differential equation driven by a fractional Brownian motion. For such process we specify mean and covariance functions, concentrating on their asymptotic behavior. This gives us a sort of short- or long-range dependence, under specified hypotheses on the covariance of the forcing process. Applications of this process in neuronal modeling are discussed, providing an example of a stochastic forcing term as a linear combination of Heaviside functions with random center. Simulation algorithms for the sample path of this process are given.
2021
Fractional Ornstein-Uhlenbeck Process with Stochastic Forcing, and its Applications / Ascione, Giacomo; Mishura, Yuliya; Pirozzi, Enrica. - In: METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY. - ISSN 1387-5841. - 23:1(2021), pp. 53-84. [10.1007/s11009-019-09748-y]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/776465
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