The Ornstein–Uhlenbeck process is presented with its main mathematical properties and with original results on the first crossing times in the case of two threshold barriers. The interpretation of filtered white noise, its stationary spectrum and Allan variance are also presented for ease of use in the time and frequency metrology field. An improved simulation scheme for the evaluation of first passage times between two barriers is also introduced.

The Ornstein-Uhlenbeck process as a model for filtered white noise

BIBBONA, Enrico;
2008-01-01

Abstract

The Ornstein–Uhlenbeck process is presented with its main mathematical properties and with original results on the first crossing times in the case of two threshold barriers. The interpretation of filtered white noise, its stationary spectrum and Allan variance are also presented for ease of use in the time and frequency metrology field. An improved simulation scheme for the evaluation of first passage times between two barriers is also introduced.
45
S117
S126
http://www.iop.org/EJ/toc/0026-1394/45/6
E. BIBBONA; G. PANFILO; P. TAVELLA
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/58227
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