5.1. Let e,, e,, ... be independent standard normal random variables and /3 a constant, 0 Uhlenbeck...

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5.1. Let e,, e,, ... be independent standard normal random variables and /3 a constant, 0

Uhlenbeck process may be constructed by setting

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(a) Show that

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Comment on the comparison with (5.22).

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Compare and contrast with (5.24).

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An Introduction To Stochastic Modeling

ISBN: 9780126848878

3rd Edition

Authors: Samuel Karlin, Howard M. Taylor

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