Submersion of a Markov process

Paul Nekoranik

Statistics & Probability Letters, 2025, vol. 225, issue C

Abstract: This note describes the transformation of a particular Gaussian process in R3 by a submersion to R2. The resulting process (x,y) is a time-homogeneous Markovian martingale for which (xt,yt) is Gaussian for every t>0 and the covariance matrix of (xt,yt) is exponentially increasing in t.

Keywords: Markov process; Martingale; Submersion (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715225001014
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:225:y:2025:i:c:s0167715225001014

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2025.110456

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().