Levy integrals and the Stationary of generalised ornstein-Uhlenbeck processes
The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process (ξt, ηt) t≥0 is defined as Vt = e-ξt (∫0t eξs- dηns + V0), t ≥ 0, where V0 is an independent starting random variable. The stationarity of the process is clos
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