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.


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.