Geodesic
Gaussian Processes with Markovian Covariances
Canadian mathematical bulletin, Tome 17 (1974) no. 3, pp. 413-415

Voir la notice de l'article provenant de la source Cambridge University Press

We show that any Gaussian process can be derived in a simple manner from a Markov process if it has zero mean and covariance identical to the covariance of a real valued function of a temporally homogeneous Markov process.
DOI : 10.4153/CMB-1974-078-6
Mots-clés : Gaussian process, Gaussian field, Markov process, 6040, 6060 
Johnson, Dudley Paul. Gaussian Processes with Markovian Covariances. Canadian mathematical bulletin, Tome 17 (1974) no. 3, pp. 413-415. doi: 10.4153/CMB-1974-078-6
@article{10_4153_CMB_1974_078_6,
     author = {Johnson, Dudley Paul},
     title = {Gaussian {Processes} with {Markovian} {Covariances}},
     journal = {Canadian mathematical bulletin},
     pages = {413--415},
     year = {1974},
     volume = {17},
     number = {3},
     doi = {10.4153/CMB-1974-078-6},
     url = {http://geodesic.mathdoc.fr/articles/10.4153/CMB-1974-078-6/}
}
TY  - JOUR
AU  - Johnson, Dudley Paul
TI  - Gaussian Processes with Markovian Covariances
JO  - Canadian mathematical bulletin
PY  - 1974
SP  - 413
EP  - 415
VL  - 17
IS  - 3
UR  - http://geodesic.mathdoc.fr/articles/10.4153/CMB-1974-078-6/
DO  - 10.4153/CMB-1974-078-6
ID  - 10_4153_CMB_1974_078_6
ER  - 
%0 Journal Article
%A Johnson, Dudley Paul
%T Gaussian Processes with Markovian Covariances
%J Canadian mathematical bulletin
%D 1974
%P 413-415
%V 17
%N 3
%U http://geodesic.mathdoc.fr/articles/10.4153/CMB-1974-078-6/
%R 10.4153/CMB-1974-078-6
%F 10_4153_CMB_1974_078_6

[1] 1. Doob, J. L., Stochastic Processes, Wiley, New York, 1953. Google Scholar

[2] 2. Ge'fand, I. M. and Vilenkin, N. Ja., Generalized functions. Vol. 4; Some applications of harmonic analysis, Fizmatgiz, Moscow, 1961; English transi., Academic press, New York, 1964. Google Scholar

[3] 3. Loeve, M., Probability Theory, 3rd ed. Van Nostrand, Princeton, New Jersey, 1963. Google Scholar

Cité par Sources :