The discrete uhlenbeck–ornstein process

DOI10.2307/3214215zbMath0633.60087OpenAlexW4252878329MaRDI QIDQ3771364

Renshaw, Eric

Publication date: 1987

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214215

zbMATH Keywords

frictionvelocitycorrelated random walkOrnstein-Uhlenbeck processes in discrete state space

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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