Fractional Ornstein-Uhlenbeck process with stochastic forcing and its applications

Giacomo Ascione; Yuliya Mishura; Enrica Pirozzi

doi:10.1007/s11009-019-09748-y

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arXiv · 2009.11688

Fractional Ornstein-Uhlenbeck process with stochastic forcing and its applications

Giacomo Ascione·Yuliya Mishura·Enrica Pirozzi

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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 finally given.

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Giacomo Ascione, Yuliya Mishura, Enrica Pirozzi. 2020-09-24. Fractional Ornstein-Uhlenbeck process with stochastic forcing and its applications. https://doi.org/10.1007/s11009-019-09748-y

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