5.2. Let _S(t) be the position process corresponding to an Ornstein- Uhlenbeck velocity V(t). Assume that S(0)

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5.2. Let _S(t) be the position process corresponding to an Ornstein-

Uhlenbeck velocity V(t). Assume that S(0) = V(0) = 0. Obtain the covariance between S(t) and V(t).

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An Introduction To Stochastic Modeling

ISBN: 9780126848878

3rd Edition

Authors: Samuel Karlin, Howard M. Taylor

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