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doi:10.3969/j.issn.1001-4268.2018.03.002

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Abstract

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.

Key words�� stochastic differential equation Ornstein-Uhlenbeck process

PACS:

O211.63

Fund:

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

Cite this article:

PENG Xuhui,ZHANG Jinlian. A Note on Ornstein-Uhlenbeck Process[J]. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2018, 34(3): 246-250.

URL:

http://aps.ecnu.edu.cn/EN/10.3969/j.issn.1001-4268.2018.03.002 OR http://aps.ecnu.edu.cn/EN/Y2018/V34/I3/246

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