Reciprocal covariance solutions of some matrix differential equations

DOI10.1016/0304-4149(91)90059-LzbMath0721.60041OpenAlexW2035250738MaRDI QIDQ2640993

Jean-Claude Massé, J. P. Carmichael, Radu Theodorescu

Publication date: 1991

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(91)90059-l

zbMATH Keywords

Gaussian processmatrix differential equationsreciprocal stationary Gaussian process

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Stationary stochastic processes (60G10)

Related Items (1)

Characterization of multivariate stationary Gaussian reciprocal diffusions

Cites Work

• Inertia characteristics of self-adjoint matrix polynomials
• Multivariate reciprocal stationary Gaussian processes
• Periodic Gaussian Osterwalder-Schrader positive processes and the two- sided Markov property on the circle
• First Passage Time for a Particular Gaussian Process
• Second-Order Markov and Reciprocal Stationary Gaussian Processes
• Champs markoviens et mesures de Gibbs sur ${R}$
• Reciprocal Processes: The Stationary Gaussian Case
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