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If the driving process is Brownian motion \\(W_t\\), \\(X_t = X_0 - \\lambda \\int_0^t X_s ds + W_t \\), then, given \\(X_0\\), the solution is   \\[ X_t = e^{-\\lambda t} [X_0 + \\int_0^t e^{\\lambda s} dW_s] = W_t + e^{-\\lambda t} X_0 - \\lambda \\int_0^t e^{ \\lambda s}W_s ds, \\]   and the initial condition \\(X_0 = \\int_{-\\infty}^t e^{\\lambda s} W_s ds \\) yields the unique stationary solution \\( X_t = W_t + \\int_{-\\infty}^t e^{- \\lambda (t-s)} W_s ds \\). The analogous result is shown to be true, if \\(W_t\\) is replaced by the linear fractional stable motion \\( \\Delta_{H, \\alpha}(t) \\) with \\( 1 < \\alpha < 2\\), \\(1/\\alpha < H \\). Here \\( \\Delta_{H, \\alpha}(t) \\) is a non-Gaussian self-similar process with possibly infinite variance and dependent increments. 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