Abrupt convergence for a family of Ornstein-Uhlenbeck processes

Tutkimustuotos: ArtikkelijulkaisuArtikkeliTieteellinenvertaisarvioitu

Abstrakti

We consider a family of Ornstein–Uhlenbeck processes. Under
some suitable assumptions on the behaviour of the drift and diffusion coefficients, we prove profile cut-off phenomenon with respect to the total variation distance in the sense of the definition given by Barrera and Ycart [ALEA Lat. Am. J. Probab. Math. Stat. 11 (2014) 445–458]. We compute explicitly the
cut-off time, the window time, and the profile function. Moreover, we prove
that the average process satisfies a profile cut-off phenomenon with respect
to the total variation distance. Also, a sample of N Ornstein–Uhlenbeck processes
has a window cut-off with respect to the total variation distance in the
sense of the definition given by Barrera and Ycart [ALEA Lat. Am. J. Probab.
Math. Stat. 11 (2014) 445–458]. The cut-off time and the cut-off window for
the average process and for the sampling process are the same.
Alkuperäiskielienglanti
LehtiBrazilian Journal of Probability and Statistics
Vuosikerta32
Numero1
Sivut188-199
Sivumäärä12
ISSN0103-0752
DOI - pysyväislinkit
TilaJulkaistu - 2018
OKM-julkaisutyyppiA1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä, vertaisarvioitu

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