Procedure for determining the dispersion and correlation matrices for a multidimensional random process

DOI10.1007/BF01098156zbMath0792.60030MaRDI QIDQ1325444

N. A. Mikhalochkin, V. V. Geletukha

Publication date: 5 July 1994

Published in: Journal of Soviet Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationrepresentations for the variance matrix

Mathematics Subject Classification ID

General second-order stochastic processes (60G12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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