If we consider $x_t$ an Ornstein-Uhlenbeck process (with $W_t$ the Wiener process), does anyone know what would be the variance of the convolution of $x_t$ with a given filter $A$ i.e. $V(x_t \star A)$ ?
I've been trying to derive the solution starting from the analytical solution such as
$x_t = \mu_x \int_0^{\infty} A(p-t) (1-e^{-p/T}) dp + (\frac{2\sigma}{T})^{1/2} \int_0^{\infty} \left(A(p-t) \int_0^p e^{-(p-s)/T} dW_s \right) dp$
and using properties of stochastic integrals and Itô isometry but I can't get the end of it...
So far, my "most successful" unsuccessful developments are the following. Since the integration of a stochastic process is a stochastic process such that
$\int_0^p e^{-(p-s)/T} dW_s = X_p = \mathcal{N}\left(0,\int_0^p e^{-2(p-s)/T} ds \right) = \mathcal{N}\left(0,\frac{T}{2}(1-e^{-2p/T})\right)$
and that one can consider (with $W_p$ a Wiener process)
$X_p = \left(\frac{\frac{T}{2}(1-e^{-2p/T})}{p}\right)^{1/2} W_p $
then
$x_t = \mu_x \int_0^{\infty} A(p-t) (1-e^{-p/T}) dp + (\frac{2\sigma}{T})^{1/2} \int_0^{\infty} A(p-t) \left(\frac{\frac{T}{2}(1-e^{-2p/T})}{p}\right)^{1/2} W_p dp $
and given that
$ \int_0^{a} g'(p) W_p dp \sim \mathcal{N}\left(0, \int_0^{a} \left(g(s)-g(p)\right)^2 ds\right)$
one therefore gets with $a=\infty$
$\sigma_x^2 = \sigma^2 \int_0^{\infty} \left( \int_p^{\infty} A(u-t) \left(\frac{1-e^{-2u/T}}{u}\right)^{1/2} du \right)^2 dp$
But I can't go anywhere from the last equation. Even taking $A$ as a dirac, it's not easy...any help would be greatly appreciated !
Thanks!
Asking on Mathoverflow (https://mathoverflow.net/questions/299702/variance-of-convolution-between-filter-a-and-ornstein-uhlenbeck-process-x-t), it turns out using the convolution theorem, the solution is simply $\int |AH(\omega)|^2 d\omega$ where H is the low-pass filter corresponding to the OU process. H is derived here How to calculate the PSD of a stochastic process