Characterization of Multivariate Stationary Gaussian Reciprocal Diffusions

Bernard C. Lévy

Journal of Multivariate Analysis, 1997, vol. 62, issue 1, 74-99

Abstract: Jamison's classification of scalar stationary Gaussian reciprocal processes is extended to multivariate Gaussian reciprocal diffusions (GRDs). The second-order self-adjoint differential equation satisfied by the covariance of a GRD specifies a Hamiltonian matrix whose eigenstructure is employed to parametrize the covariance of stationary GRDs. Characterizations of the conservation matrix and of the covariance matrix of the end point values of a stationary GRD are also provided.

Keywords: Gaussian; reciprocal; diffusions; Hamiltonian; matrix; stationary; processes (search for similar items in EconPapers)
Date: 1997
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