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On the small time behavior of Ornstein–Uhlenbeck processes with unbounded linear drifts

✍ Scribed by S. Fang; T.S. Zhang


Publisher
Springer
Year
1999
Tongue
English
Weight
121 KB
Volume
114
Category
Article
ISSN
1432-2064

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The statistical properties of a backward stochastic differential equation are derived, assuming the noise is similar to the white noise, but having small correlation times. The relation between the forward and backward systems is examined and given an application to the theory of maximum principle.