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The Distribution of a Certain Nonlinear Functional of an Ornstein-Uhlenbeck Process

✍ Scribed by Doyle, Worthie; McFadden, J. A.; Marx, Imanuel

Book ID
118193859
Publisher
Society for Industrial and Applied Mathematics
Year
1962
Weight
929 KB
Volume
10
Category
Article
ISSN
0368-4245

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Properties of stationary distributions of a sequence of generalized Ornstein–Uhlenbeck processes
✍ Alexander Lindner; Ken-iti Sato 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 277 KB

## Abstract The infinite (in both directions) sequence of the distributions μ^(__k__)^ of the stochastic integrals \documentclass{article}\usepackage{amssymb}\begin{document}\pagestyle{empty}$\int \_0^{\infty -} c^{-N\_{t-}^{(k)}} dL\_t^{(k)}$\end{document} for integers __k__ is investigated. Here