For a constant coefficient Ornstein-Uhlenbeck process, how should I think about the relationship between the infinitesimal generator of the process and the covariance operator of the process (or, equivalently, its precision operator)? Is there a meaningful relationship?


Your Answer

By clicking "Post Your Answer", you acknowledge that you have read our updated terms of service, privacy policy and cookie policy, and that your continued use of the website is subject to these policies.

Browse other questions tagged or ask your own question.