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Levy Noise Affects Ornstein–Uhlenbeck Memory

This paper investigates the memory of the Ornstein–Uhlenbeck process (OUP) via three ratios of the OUP increments: signal-to-noise, noise-to-noise, and tail-to-tail. Intuition suggests the following points: (1) changing the noise that drives the OUP from Gauss to Levy will not affect the memory, as...

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Hovedforfatter: Iddo Eliazar
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2025-02-01
Serier:Entropy
Fag:
Ornstein–Uhlenbeck process
Langevin equation
memory
Gauss and Levy noises
light and heavy tails
short-range and long-range correlations
Online adgang:https://www.mdpi.com/1099-4300/27/2/157
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