Duals and inverse flows of generalized Ornstein-Uhlenbeck processes

Latin American Journal of Probability and Mathematical Statistics 2026 Open access

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Authors: Anita Diana Behme, H. Heinrich, Alexander Lindner
DOI: 10.30757/alea.v23-38
Cited by: 0

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.

Fields of Study & Subjects

Stochastic processes and financial applications stochastic dynamics and bifurcation Advanced Thermodynamics and Statistical Mechanics

Publication details

Journal / source
Latin American Journal of Probability and Mathematical Statistics
Volume
23
Issue
2
Pages
1035–1035
Publication date
1 January 2026
Language
EN