Ornstein-Uhlenbeck过程的特征函数

Ornstein-Uhlenbeck process(O-U process for short) is a very important kind of Markov process,WangZikun gave the multi-parameter O-U process for the first time, and made a more systematic study of two-parameter O-U process, then LiaoZhaomao also generalized some of its conclusions to some extent. Based on these foundations, the characteristic function of O-U process is mainly considered in this paper in the way of normal distribution: as normal distribution has many good properties and many reseach achievements of it are well known to us, firstly the characteristic function of the mormal part of O-U process is obtained by the way of calculating mean and variance, then compute the characteristic function of whole O-U process by its definition and finally it is generalized to the case of multi-parameter one-dimensional similarly.