- 10. Ornstein–Uhlenbeck Process. Let
be a probability space and let 
be a standard Wiener process. Suppose 
follows the Ornstein–Uhlenbeck process with SDE
where
, 
and 
are constants. By applying Itō's formula to 
and taking integrals show that for 
,
Using the properties of stochastic integrals on the above expression, find the mean and variance of
, given .Deduce that follows a normal distribution. ...
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