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Pré-Publication, Document De Travail Année : 2008

A note about conditional Ornstein-Uhlenbeck processes

Résumé

In this short note, the identity in law, which was obtained by P. Salminen, between on one hand, the Ornstein-Uhlenbeck process with parameter gamma, killed when it reaches 0, and on the other hand, the 3-dimensional radial Ornstein-Uhlenbeck process killed exponentially at rate gamma and conditioned to hit 0, is derived from a simple absolute continuity relationship.
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Dates et versions

hal-00211782 , version 1 (21-01-2008)

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Amel Bentata. A note about conditional Ornstein-Uhlenbeck processes. 2008. ⟨hal-00211782⟩
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