Good morning all,
When trying to decipher some documentation I have come across this stochastic process which seems to me much like a Ornstein-Uhlenbeck (or Vasicek) process.
However, the long-term mean level coincides with the asymptotic variance of the process: $Var[X_t]=\sigma^2/2\kappa$ as $t\rightarrow \infty$
My question is: Does this make any sense? It certainly does not to me.
Thank you very much, this forum is veryhelful :)