Same-noise stationary Ornstein-Uhlenbeck processes

ID: same-noise-stationary-ornstein-uhlenbeck-processes

Two Ornstein-Uhlenbeck processes with the same driving Brownian motion have the displayed difference. If is standard normal and independent of future Brownian increments, replacing it by produces another stationary process with the same covariance and second moment, but a different pathwise coupling. Equal initial values are necessary for indistinguishability of stochastic processes.

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