A Markov property for two parameter Gaussian processes.

David Nualart Rodón; M. Sanz

Stochastica (1979)

  • Volume: 3, Issue: 1, page 1-16
  • ISSN: 0210-7821

Abstract

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This paper deals with the relationship between two-dimensional parameter Gaussian random fields verifying a particular Markov property and the solutions of stochastic differential equations. In the non Gaussian case some diffusion conditions are introduced, obtaining a backward equation for the evolution of transition probability functions.

How to cite

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Nualart Rodón, David, and Sanz, M.. "A Markov property for two parameter Gaussian processes.." Stochastica 3.1 (1979): 1-16. <http://eudml.org/doc/38803>.

@article{NualartRodón1979,
abstract = {This paper deals with the relationship between two-dimensional parameter Gaussian random fields verifying a particular Markov property and the solutions of stochastic differential equations. In the non Gaussian case some diffusion conditions are introduced, obtaining a backward equation for the evolution of transition probability functions.},
author = {Nualart Rodón, David, Sanz, M.},
journal = {Stochastica},
keywords = {Proceso de Gauss; Propiedad de Markov; Ecuaciones diferenciales estocásticas; Integración estocástica; Difusión; multiparameter Markov property; Brownian sheet; Gaussian processes; stochastic integrals},
language = {eng},
number = {1},
pages = {1-16},
title = {A Markov property for two parameter Gaussian processes.},
url = {http://eudml.org/doc/38803},
volume = {3},
year = {1979},
}

TY - JOUR
AU - Nualart Rodón, David
AU - Sanz, M.
TI - A Markov property for two parameter Gaussian processes.
JO - Stochastica
PY - 1979
VL - 3
IS - 1
SP - 1
EP - 16
AB - This paper deals with the relationship between two-dimensional parameter Gaussian random fields verifying a particular Markov property and the solutions of stochastic differential equations. In the non Gaussian case some diffusion conditions are introduced, obtaining a backward equation for the evolution of transition probability functions.
LA - eng
KW - Proceso de Gauss; Propiedad de Markov; Ecuaciones diferenciales estocásticas; Integración estocástica; Difusión; multiparameter Markov property; Brownian sheet; Gaussian processes; stochastic integrals
UR - http://eudml.org/doc/38803
ER -

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