THE ZIEGERT FORMULA FOR MULTIDIMENSIONAL ORNSHTEIN-UHLENBECK RANDOM PROCESSES
DOI:
https://doi.org/10.52575/2687-0959-2021-53-2-97–113Keywords:
elementary gaussian processes, multidimensional Ornshtein-Uhlenbeck process, Riccati’s matrix equation, white noise, Kolmogorov’s equationAbstract
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