Duals and inverse flows of generalized Ornstein-Uhlenbeck processes

Anita Behme; Henriette E. Heinrich; Alexander Lindner

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arXiv · 2504.05157

Duals and inverse flows of generalized Ornstein-Uhlenbeck processes

Anita Behme·Henriette E. Heinrich·Alexander Lindner

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Abstract

We derive explicit representations for the (Siegmund) dual and the inverse flow of generalized Ornstein-Uhlenbeck processes whenever these exist. It turns out that the dual and the process corresponding to the inverse stochastic flow are again generalized Ornstein-Uhlenbeck processes. Further, we observe that the stationary distribution of the dual process provides information about the hitting time of zero of the original process.

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BibTeX RIS

Anita Behme, Henriette E. Heinrich, Alexander Lindner. 2025-04-07. Duals and inverse flows of generalized Ornstein-Uhlenbeck processes. https://arxiv.org/abs/2504.05157

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