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// Applied Mathematics & Physics
// Archive
Applied Mathematics & Physics, 2021, Volume 53, Issue 2,
Pages
97–113
(Mi pmf326)
MATHEMATICS
The Ziegert formula for multidimensional Ornshtein-Uhlenbeck random processes
Yu. P. Virchenko
, N. Vitokhina
Belgorod National Research University
Abstract:
Keywords:
elementary gaussian processes, multidimensional Ornshtein-Uhlenbeck process, Riccati's matrix equation, white noise, Kolmogorov's equation.
Received:
29.06.2021
DOI:
10.52575/2687-0959-2021-53-2-97-113
©
Steklov Math. Inst. of RAS
, 2024
