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1 paper

stat.CO2026

Stable Matrix Parametrizations and Structured Adjoints for Ornstein-Uhlenbeck Processes

Filippo Monti, Andrew Holbrook, Nathan E. Glatt-Holtz +1

Ornstein-Uhlenbeck processes with flexible multivariate drift matrices are powerful models for capturing coupled, asymmetric, and damped-oscillatory mean reversion. However, likeli…