Fonseca, Regina C.B. da; Figueiredo, Annibal; Castro, … - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 7, pp. 1671-1680
We generalize the Ornstein–Uhlenbeck (OU) process using Doob’s theorem. We relax the Gaussian and stationary conditions, assuming a linear and time-homogeneous process. The proposed generalization retains much of the simplicity of the original stochastic process, while exhibiting a somewhat...