Maximal Inequalities for the Ornstein-Uhlenbeck Process

Abstract

Consider the random movement of a Brownian particle suspended in a liquid. The EinsteinSmoluchowski theory suggests the standard Brownian motion Bt N(0; t) as a model for the position of the particle. The Ornstein-Uhlenbeck theory [6] relies upon Newtonian mechanics and suggests that the position of the Brownian particle should be modelled as Xt = R t 0 Vr… (More)

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