How to verify that a given process is a Lévy-Driven Ornstein-Uhlenbeck Process

Ibrahim Abdelrazeq, Hardy Smith, Dinmukhammed Zhanbyrshy

Assuming that a Lévy-Driven Ornstein-Uhlenbeck (or CAR(1)) processes is observed at discrete times $0$, $h$, $2h$,$\cdots$ $[T/h]h$. We introduce a step-by-step methodological appr…