二参数Ornstein-Uhlenbeck过程的奇点的蔓延
PROPAGATION OF SINGULARITIES IN THE ORNSTEIN-UHLENBECK PROCESSES WITH TWO PARAMETERS
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摘要: 作为二参数马尔柯夫过程一般理论的先导,王梓坤教授在文献1中定义了二参数Ornstein-Uhlenbeck过程(简称二参数OUP,或OUP2),并研究了它的基本性质及三种马尔柯夫性。本文首先研究OUP2的截口,而后指出它的关于重对数律的奇点可以沿着水平方向及垂直方向蔓延。这个有趣的二参数过程奇点蔓延的现象,首先由J. B. Walsh在研究二参数Brown运动时指出(2)。本文除特别说明外,记号与术语均同文献1。Abstract: \tau_\text Let X(s, t)=e^-\alpha t-\beta t\leftX_0+\sigma \int_0^s \int_0^t e^\alpha a+\beta b d W(a, b)\right be an Ornstein-Uhlenbeck process with two parameters \left(\mathrmOUP_2\right). In this paper, we prove that each section X_0 \Rightarrow X(s, c) is an ollP. We also discuss the law of iterated logrithm of \mathrmOUP_2. A point s is oalled a singularity of \mathrmOUP_2 X(s, t) if \lim _h \nmid 0 \sup \frac|X(s+h, t)-X(s, t)|\sqrth \log \log 1 / h=+\infty. We point out that the singularities can propagate parallelly to the ooordinate axis just as in the Brownian sheet.