Question: 5.1. Let e,, e,, ... be independent standard normal random variables and /3 a constant, 0 Uhlenbeck process may be constructed by setting (a) Show

5.1. Let e,, e,, ... be independent standard normal random variables and /3 a constant, 0

Uhlenbeck process may be constructed by setting

Vov and V = (1B)V + for n1.

(a) Show that

image text in transcribed

Comment on the comparison with (5.22).

image text in transcribed

Compare and contrast with (5.24).

Vov and V = (1B)V + for n1.

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