Continuity of $l^2$-Valued Ornstein-Uhlenbeck Processes
نویسندگان
چکیده
منابع مشابه
On the absolute continuity of multidimensional Ornstein-Uhlenbeck processes
Let X be a n-dimensional Ornstein-Uhlenbeck process, solution of the S.D.E. dXt = AXt dt + dBt where A is a real n × n matrix and B a Lévy process without Gaussian part. We show that when A is non-singular, the law of X1 is absolutely continuous in R n if and only if the jumping measure of B fulfils a certain geometric condition with respect to A, which we call the exhaustion property. This opt...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 1990
ISSN: 0091-1798
DOI: 10.1214/aop/1176990938