Etude de la covariance de quelques processus Gaussiens en liaison avec la propriete de Markov

L. Carraro

Stochastic Processes and their Applications, 1990, vol. 35, issue 2, 251-265

Abstract: We give two characterisations of the finite Markov property for Gaussian processes indexed by , based on the covariance of these processes. Then, we use this approach, combined with the hyperbolic structure of 2+, to give prediction results for the two-parameter Wiener process. The complete identity between Green functions on [0, 1] and covariance of Markov Gaussian processes indexed by [0, 1] is also established.

Keywords: prediction; Markov; property; Wiener; process; Green; functions (search for similar items in EconPapers)
Date: 1990
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(90)90005-D
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:spapps:v:35:y:1990:i:2:p:251-265

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

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().