A characterization of Gaussian processes that are Markovian
Waclaw Timoszyk (1974)
Colloquium Mathematicae
Similarity:
Displaying similar documents to “A connection between Gaussian processes and Markov processes.”
A characterization of Gaussian processes that are Markovian
The Markov property for generalized gaussian random fields
G. Kallianpur, V. Mandrekar (1974)
Annales de l'institut Fourier
Similarity:
We obtain necessary and sufficient conditions in order that a Gaussian process of many parameters (more generally, a generalized Gaussian random field in ) possess the Markov property relative to a class of open sets. The method adopted is the Hilbert space approach initiated by Cartier and Pitt. Applications are discussed.
A Gaussian oscillator.
Burdzy, Krzysztof, White, David (2004)
Electronic Communications in Probability [electronic only]
Similarity:
Two-parameter gaussian Markov processes and their recursive linear filtering
Hayri Korezlioglu (1979)
Annales scientifiques de l'Université de Clermont. Mathématiques
Similarity:
Measures and Markov processes on function spaces
Peter Baxendale (1976)
Mémoires de la Société Mathématique de France
Similarity:
Every continuous first order autoregressive stochastic process is a Gaussian process
Friedrich Liese (1992)
Kybernetika
Similarity:
On small deviations of Gaussian processes using majorizing measures
Michel J. G. Weber (2012)
Colloquium Mathematicae
Similarity:
We give two examples of periodic Gaussian processes, having entropy numbers of exactly the same order but radically different small deviations. Our construction is based on Knopp's classical result yielding existence of continuous nowhere differentiable functions, and more precisely on Loud's functions. We also obtain a general lower bound for small deviations using the majorizing measure method. We show by examples that our bound is sharp. We also apply it to Gaussian independent sequences...