Characterization of vector valued, Gaussian, stationary, Markov processes
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.
scientific article; zbMATH DE number 4044862