Concepedia

Ornstein-uhlenbeck Processes

Ornstein-Uhlenbeck Process is a continuous-time stochastic process that belongs to the class of Gaussian Markov processes and is distinguished by its mean-reverting behavior, governed by a linear drift term proportional to the deviation from a long-term mean and driven by Brownian motion.

1.4K

Publications

68.3K

Citations

2.2K

Authors

1K

Institutions

Publications per year

2017–2026

348

Variants

Ornstein-uhlenbeck Process

Parents

Publications

1.4K

Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2001 · 1.9K citations

, , +16

Derivation of the Schrödinger Equation from Newtonian Mechanics

Edward Nelson · Physical Review · 1966 · 1.7K citations

, , +10

Processes of normal inverse Gaussian type

Ole E. Barndorff–Nielsen · Finance and Stochastics · 1997 · 1.3K citations

, , +15

Affine processes and applications in finance

Darrell Duffie, Damir Filipović, Walter Schachermayer · The Annals of Applied Probability · 2003 · 1.1K citations · Full text

, , +17

Stochastic Volatility for Lévy Processes

Peter Carr, Hélyette Geman, Dilip B. Madan et al. · Mathematical Finance · 2003 · 911 citations

, , +17

1–5 of 1.4K

Authors

2.2K

  1. OE
    Ole E. Barndorff–Nielsen

    Aarhus University, Denmark

    19 publications · 4.6K citations

    17

    h-index

  2. LM
    Luigi M. Ricciardi

    University of Bari Aldo Moro, Italy

    12 publications · 1.1K citations

    12

    h-index

  3. FE
    Fred Espen Benth

    University of Oslo, Norway

    14 publications · 1.2K citations

    12

    h-index

  4. LC
    Lorenzo Caprini

    Università di Camerino, Italy

    12 publications · 758 citations

    12

    h-index

  5. YH
    Yaozhong Hu

    University of Kansas, United States

    11 publications · 708 citations

    11

    h-index

1–5 of 2.2K

Institutions

1K

  1. Centre National de la Recherche Scientifique

    Paris, France

    26 h-index

    66 publications

    3.7K citations

  2. Sorbonne Université

    Paris, France

    17 h-index

    29 publications

    1.7K citations

  3. University of Copenhagen

    Copenhagen, Denmark

    17 h-index

    28 publications

    2.2K citations

  4. University of Oslo

    Oslo, Norway

    17 h-index

    34 publications

    3K citations

  5. Princeton University

    Princeton, United States

    15 h-index

    33 publications

    5.5K citations

  6. Aarhus University

    Aarhus, Denmark

    15 h-index

    27 publications

    4.4K citations

  7. Université Paris Cité

    Paris, France

    14 h-index

    26 publications

    1.7K citations

  8. Institute of Mathematics

    Warsaw, Poland

    14 h-index

    24 publications

    780 citations

1–8 of 1K

Venues

  1. Physical review. E

    PRE · 46 publications · 1.6K citations

    24

    h-index

  2. Journal of Applied Probability

    JAP · 50 publications · 1.8K citations

    23

    h-index

  3. Physical Review E

    PRE · 32 publications · 1.4K citations

    20

    h-index

  4. Stochastic Processes and their Applications

    26 publications · 1.6K citations

    19

    h-index

  5. The Annals of Probability

    28 publications · 1.3K citations

    19

    h-index

1–5