彭旭辉, 张金莲. 关于O-U过程的一个注记[J]. 应用概率统计, 2018, 34(3): 246-250. DOI: 10.3969/j.issn.1001-4268.2018.03.002
引用本文: 彭旭辉, 张金莲. 关于O-U过程的一个注记[J]. 应用概率统计, 2018, 34(3): 246-250. DOI: 10.3969/j.issn.1001-4268.2018.03.002
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PENG Xuhui, ZHANG Jinlian. A Note on Ornstein-Uhlenbeck Process[J]. Chinese Journal of Applied Probability and Statistics, 2018, 34(3): 246-250. DOI: 10.3969/j.issn.1001-4268.2018.03.002
Citation: PENG Xuhui, ZHANG Jinlian. A Note on Ornstein-Uhlenbeck Process[J]. Chinese Journal of Applied Probability and Statistics, 2018, 34(3): 246-250. DOI: 10.3969/j.issn.1001-4268.2018.03.002
shu

关于O-U过程的一个注记

A Note on Ornstein-Uhlenbeck Process

    摘要
  • 摘要: 对于O-U过程, 我们证明了: 如果经典的Kalman条件不满足,那么经过一个可逆的线性变换, 该O-U过程可以分解为一个随机过程和一个确定性过程.

     

    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.

     

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