On the interval recurrence property of (N, d)-Ornstein-Uhlenbeck processes

Let X(N,d) be a N-parameter Omstein-Uhlenbeck process taking values in ##R##d. In this paper, we prove that, for an arbitrary pair of positive integers (N, d) and any open set S in ##R##d, X(N,d) is recurrent to S. This is surprisingly different from the recurrence properties of the N-parameter Wiener process W(N,d) taking values in ##R##d which is interval recurrent only for the positive integer pairs (N, d) d [less-than-or-equals, slant] 2N.

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Year of publication:	1997
Authors:	Wang, H. ; Chen, X.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 33.1997, 1, p. 79-84
Publisher:	Elsevier
Subject:	(N \| d)-Wiener process (N \| d)-Ornstein-Uhlenbeck processes Recurrence Transience

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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