A. N. Borodin, “Hyperbolic Ornstein–Uhlenbeck process”, Zap. Nauchn. Sem. POMI, 2015, Volume 441,Pages <nobr>45

This article is cited in 1 paper

Hyperbolic Ornstein–Uhlenbeck process

A. N. Borodin^ab

^a St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences, St. Petersburg, Russia
^b St. Petersburg State University, St. Petersburg, Russia

Abstract: The the paper we continue the investigation of the class of hypergeometric diffusions started in [1]. The wide subclass of these diffusions consists of hyperbolic Ornstein–Uhlenbeck processes. An explicit formula for the transition density of the hyperbolic Ornstein–Uhlenbeck process is derived.

Key words and phrases: stochastic processes, Ornstein–Uhlenbeck process, hyperbolic Ornstein–Uhlenbeck process.

UDC: 519.2

Received: 15.10.2015