=+12. Show that Cov(Yt+s, Yt) = 2es(1 e2t) 2 in the Ornstein-Uhlenbeck process when s and

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=+12. Show that Cov(Yt+s, Yt) = σ2e−γs(1 − e−2γt)

2γ

in the Ornstein-Uhlenbeck process when s and t are nonnegative.

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Applied Probability

ISBN: 9781441971647

2nd Edition

Authors: Kenneth Lange

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Question Posted: Nov 01, 2024 04:00 AM

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=+12. Show that Cov(Yt+s, Yt) = 2es(1 e2t) 2 in the Ornstein-Uhlenbeck process when s and t are nonnegative.
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=+12. Show that Cov(Yt+s, Yt) = 2es(1 e2t) 2 in the Ornstein-Uhlenbeck process when s and

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Applied Probability

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