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
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A Note on Ornstein-Uhlenbeck Process

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  • 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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