Ornstein-Uhlenbeck-Cauchy Process

Piotr Garbaczewski; Robert Olkiewicz

doi:10.1063/1.1290054

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arXiv · chao-dyn/9910028

Ornstein-Uhlenbeck-Cauchy Process

Piotr Garbaczewski·Robert Olkiewicz

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Abstract

We combine earlier investigations of linear systems with Lévy fluctuations [Physica {\bf 113A}, 203, (1982)] with recent discussions of Lévy flights in external force fields [Phys.Rev. {\bf E 59},2736, (1999)]. We give a complete construction of the Ornstein-Uhlenbeck-Cauchy process as a fully computable model of an anomalous transport and a paradigm example of Doob's stable noise-supported Ornstein-Uhlenbeck process. Despite the nonexistence of all moments, we determine local characteristics (forward drift) of the process, generators of forward and backward dynamics, relevant (pseudodifferential) evolution equations. Finally we prove that this random dynamics is not only mixing (hence ergodic) but also exact. The induced nonstationary spatial process is proved to be Markovian and quite apart from its inherent discontinuity defines an associated velocity process in a probabilistic sense.

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Piotr Garbaczewski, Robert Olkiewicz. 1999-10-20. Ornstein-Uhlenbeck-Cauchy Process. https://doi.org/10.1063/1.1290054

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