Characterization of vector valued, Gaussian, stationary, Markov processes (Q1100805)
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scientific article; zbMATH DE number 4044862
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Characterization of vector valued, Gaussian, stationary, Markov processes |
scientific article; zbMATH DE number 4044862 |
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Characterization of vector valued, Gaussian, stationary, Markov processes (English)
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1987
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The characterization of \textit{J. L. Doob} [Stochastic processes. (1953; Zbl 0053.268)] of real-valued stationary Gaussian Markov processes is extended to the vector case. In this case, a deterministic component appears that consists of a system of harmonic oscillators while the random part is a collection of independent oscillator processes, modulo linear changes of coordinates.
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Ornstein-Uhlenbeck process
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Markov property characterization
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stationary Gaussian Markov processes
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harmonic oscillators
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