N参数d维Ornstein-Uhlenbeck过程样本轨道的一个性质

A PROPERTY OF THE N-PARAMETER d-DIMENSIONAL ORNSTEIN-UHLENBECK PROCESS

  • 摘要: 对于N参数d维Ornstein-Uhlenbeek过程,本文借助于2中的方法,证明了在d<2N时,XN,dt):tR+Nd维Lebesgue测度大于零。

     

    Abstract: A stochastic process X=Xt, tR+N is called N-parameter Ornstein-Uhlenbeck process (OUP), if X_t=e^-\alpha, t\leftX_0+\sigma \iint_0, t e^\alpha, a d w(a)\right Where X0~N(0, 1), W is the N-parameter Wiener process and X0 is independent of W. XN,d=(Xt1,…, Xtd):tR+N is defind ad the N-parameter d dimensional OUP. We prove that when d<2N, the range of XN,d has a positive d-dimensional volume a.s. The fact is a foundation for further discussion of sample paths of XN,d.

     

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