2
$\begingroup$

Let $(B_t)$ be a standard Brownian motion and consider $(X_t)$ defined as: $$X_t=e^{-t}B_{e^{2t}}$$ I've proved that this process is markov, however I can't prove that is strong markov. I know that this seem like the Ornstein-Uhlenbeck process but I don't know anything about SDE that probably will solve this problem easly.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.