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Variance of convolution between filter $A$ and Ornstein-Uhlenbeck process $x_t$
If we consider $x_t$ an Ornstein-Uhlenbeck process (with $W_t$ the Wiener process), does anyone know what would be the variance of the convolution of $x_t$ with a given filter $A$ i.e. $V(x_t \star A)$...
