Ornstein Uhlenbeck process bounded exponential expectation

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I found the following statement but can't figure out how to show it: Let

Y_t = -k Y_t dt + a dt + dW_t

be an Ornstein Uhlenbeck process, where k > 0, a \in R, W is Brownian motion. Then it is an ergodic Gauss-Markov process, so there exists a \beta > 0 such that

sup_{t \geq 0} E(e^{\beta Y_t^2}) < \infty.

I can't explain why this should be true. can someone help me?

I tried to calculate

E(e^{\beta X_t^2})

for some Gaussian variable X_t directly, but this is not a finite value...

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