Open djanloo opened 6 months ago
A good starting point should be this, but it's not clear what a "squared-exponential process" is (or how to generate that).
Another option is to use a mollifier.
Other solutions may be to filter an OU process (red-shifting it) or to apply a differential operator (heat-equation-like) and relaxing for a fixed amount of time.
Oscillators must be initialized by a (smooth) stochastic process. See Leon 2015 appendix C.