Abrupt convergence for a family of Ornstein-Uhlenbeck processes

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

Sammanfattning

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.
Originalspråkengelska
TidskriftBrazilian Journal of Probability and Statistics
Volym32
Utgåva1
Sidor (från-till)188-199
Antal sidor12
ISSN0103-0752
DOI
StatusPublicerad - 2018
MoE-publikationstypA1 Tidskriftsartikel-refererad

Vetenskapsgrenar

  • 112 Statistik

Citera det här