Education Ministry of China, College of Mathematics and Statistics, Hunan Normal University, Changsha, 410081, China;Department of Mathematics, Hunan University,Changsha, 410082, China
For the Ornstein-Uhlenbeck process, we prove that if the classical Kalman's condition doesn't hold, then it can be divided into a deterministic process plus a stochastic process after a linear and invertible transformation.
Xuhui Peng was supported by the National Natural Science Foundation of China (Grant No.\;11501195), the Scientific Research Fund of Hunan Provincial Education Department (Grant No.\;17C0953) and the Construct Program of the Key Discipline in Hunan Province.
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PENG Xuhui;ZHANG Jinlian. A Note on Ornstein-Uhlenbeck Process. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2018, 34(3): 246-250.
