Author:
Lladser Manuel,San Martín Jaime
Abstract
Let (X
t
) be a one-dimensional Ornstein-Uhlenbeck process with initial density function f : ℝ+ → ℝ+, which is a regularly varying function with exponent -(1 + η), η ∊ (0,1). We prove the existence of a probability measure ν with a Lebesgue density, depending on η, such that for every A ∊
B
(R
+):
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
21 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献