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Etude de la covariance de quelques processus Gaussiens en liaison avec la propriete de Markov

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  • Carraro, L.

Abstract

We give two characterisations of the finite Markov property for Gaussian processes indexed by , based on the covariance of these processes. Then, we use this approach, combined with the hyperbolic structure of 2+, to give prediction results for the two-parameter Wiener process. The complete identity between Green functions on [0, 1] and covariance of Markov Gaussian processes indexed by [0, 1] is also established.

Suggested Citation

  • Carraro, L., 1990. "Etude de la covariance de quelques processus Gaussiens en liaison avec la propriete de Markov," Stochastic Processes and their Applications, Elsevier, vol. 35(2), pages 251-265, August.
    • Handle: RePEc:eee:spapps:v:35:y:1990:i:2:p:251-265
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