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

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DOI

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
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     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/}
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