TWO-PARAMETER ORNSTEIN-UHLENBECK PROCESSES

被引：1

作者：

王梓坤

机构：

[1] Department of Mathematics

[2] Nankai University

来源：

Acta Mathematica Scientia | 1984年 / 01期

关键词：

OUP; 一夕; TWO-PARAMETER ORNSTEIN-UHLENBECK PROCESSES;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

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

引用

页码：1 / 12

页数：12

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