A note about conditional Ornstein-Uhlenbeck processes

Details A note about conditional Ornstein-Uhlenbeck processes A note about conditional Ornstein-Uhlenbeck processes

2008-01-21

arxiv.org/abs/0801.3261v1

Mathematics

Probability

Scientific paper

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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