In this paper we present a review on the extremal behavior of stationary continuous-time processes with emphasis on generalized Ornstein-Uhlenbeck processes. We restrict our attention to heavy-tailed models like heavy-tailed Ornstein-Uhlenbeck processes or continuous-time GARCH processes. The survey includes the tail behavior of the stationary distribution, the tail behavior of the sample maxim...

Ornstein-Uhlenbeck processes driven by general Lévy process are considered in this paper. We derive strongly consistent estimators for the moments of the underlying Lévy process and for the mean reverting parameter of the Ornstein-Uhlenbeck process. Moreover, we prove that the estimators are asymptotically normal. Finally, we test the empirical performance of our estimators in a simulation stud...

We consider a positive stationary generalized Ornstein-Uhlenbeck process

Sediment tracers are increasingly employed to estimate bed load transport and landscape evolution rates. Tracer trajectories are dominated by periods of immobility (“waiting times”) as they are buried and reexcavated in the stochastically evolving river bed. Here we model bed evolution as a random walk with mean-reverting tendency (Ornstein-Uhlenbeck process) originating from the restoring effe...

We study regularizing properties for transition semigroups related to Ornstein Uhlenbeck processes with values in a Banach space E which is continuously and densely embedded in a real and separable Hilbert space H . Namely we study conditions under which the transition semigroup maps continuous and bounded functions into differentiable functions. Via a Girsanov type theorem such properties exte...

While consistency of the maximum likelihood estimator of the drift matrix in a multi-dimensional continuous time Ornstein-Uhlenbeck process holds under rather general conditions, little is known about the rate of convergence and the limiting distribution of the estimator when the underlying process is not ergodic. The objective of the paper is to investigate these questions for an important exa...

This note is a study of the Ornstein-Uhlenbeck bridge and its main properties. We present the derivation of its canonical decomposition in the first section of the paper using filtration enlargement techniques. In the second section, we present its Karhunen-Loève expansion, for any value of the initial variance and mean-reversion parameter (or mean-repulsion if negative). In the third section, ...