A note about conditional Ornstein-Uhlenbeck processes
Probability
2008-08-20 v1
Abstract
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.
Cite
@article{arxiv.0801.3261,
title = {A note about conditional Ornstein-Uhlenbeck processes},
author = {Amel Bentata},
journal= {arXiv preprint arXiv:0801.3261},
year = {2008}
}