Non-Linear prediction problems for Ornstein-Uhlenbeck process
نویسندگان
چکیده
منابع مشابه
Ornstein - Uhlenbeck Process
Also, a process {Yt : t ≥ 0} is said to have independent increments if, for all t0 < t1 < . . . < tn, the n random variables Yt1 − Yt0 , Yt2 − Yt1 , ..., Ytn − Ytn−1 are independent. This condition implies that {Yt : t ≥ 0} is Markovian, but not conversely. The increments are further said to be stationary if, for any t > s and h > 0, the distribution of Yt+h− Ys+h is the same as the distributio...
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Also, a process {Yt : t ≥ 0} is said to have independent increments if, for all t0 < t1 < . . . < tn, the n random variables Yt1 − Yt0 , Yt2 − Yt1 , ..., Ytn − Ytn−1 are independent. This condition implies that {Yt : t ≥ 0} is Markovian, but not conversely. The increments are further said to be stationary if, for any t > s and h > 0, the distribution of Yt+h− Ys+h is the same as the distributio...
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ژورنال
عنوان ژورنال: Nagoya Mathematical Journal
سال: 1983
ISSN: 0027-7630,2152-6842
DOI: 10.1017/s002776300002050x