Some remarks on a linear stochastic differential equation |
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| Affiliation: | 1. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, N2L 5A7, Canada;2. School of Mathematical and Statistical Sciences, University of Western Ontario, London, Ontario N6A 5B7, Canada |
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| Abstract: | In this note we study the properties of the solution of a two-parameter linear stochastic differential equation with constant coefficients. We prove, in particular, that this solution may be negative with positive probability. |
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