TWO-PARAMETER ORNSTEIN-UHLENBECK PROCESSES

Let W= {w（α）,a≥0} be a Standard Brownian Motion, α>0,σ> be two constants, X0-α random variable, independent of W. It is well known that the stochastic differential equation （see [1,3]） dX（α） = -αX（α）dα+σ dW（α） （1） X（0）=X0 has a unique solution