On the representation of an integrated Gauss-Markov process

zbMath1336.60154arXiv1307.5970MaRDI QIDQ2800131

Mario Abundo

Publication date: 14 April 2016

Full work available at URL: https://arxiv.org/abs/1307.5970

zbMATH Keywords

diffusionstochastic differential equationBrownian motionstochastic integralfirst-passage timeGauss-Markov process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Stochastic integrals (60H05)

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