摘要
对于O-U过程,我们证明了:如果经典的Kalman条件不满足,那么经过一个可逆的线性变换,该O-U过程可以分解为一个随机过程和一个确定性过程.
For the Ornstein-Uhlenbeck process,we prove that if the classical Kalman's condition doesn't hold,then it can be divided into a deterministic process plus a stochastic process after a linear and invertible transformation.
作者
彭旭辉
张金莲
PENG Xuhui;ZHANG Jinlian(Key Laboratory of High Performance Computing and Stochastic Information Processing(HPCSIP)Education Ministry of China,College of Mathematics and Statistics,Hunan Normal University,Changsha,410081,China;Department of Mathematics,Hunan University,Changsha,410082,China)
出处
《应用概率统计》
CSCD
北大核心
2018年第3期246-250,共5页
Chinese Journal of Applied Probability and Statistics
基金
Xuhui Peng was supported by the National Natural Science Foundation of China(Grant No.11501195),the Scientific Research Fund of Hunan Provincial Education Department(Grant No.17C0953)and the Construct Program of the Key Discipline in Hunan Province.
关键词
随机微分方程
O-U过程
stochastic differential equation
Ornstein-Uhlenbeck process
