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On conditional Ornstein–Uhlenbeck processes
Published online by Cambridge University Press: 01 July 2016
Abstract
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It is well known that the law of a Brownian motion started from x > 0 and conditioned never to hit 0 is identical with the law of a three-dimensional Bessel process started from x. Here we show that a similar description is valid for all linear Ornstein–Uhlenbeck Brownian motions. Further, using the same techniques, it is seen that we may construct a non-stationary Ornstein–Uhlenbeck process from a stationary one.
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- Copyright © Applied Probability Trust 1984
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