On the representation of an integrated Gauss-Markov process
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Publication:2800131
zbMath1336.60154arXiv1307.5970MaRDI QIDQ2800131
Publication date: 14 April 2016
Full work available at URL: https://arxiv.org/abs/1307.5970
diffusionstochastic differential equationBrownian motionstochastic integralfirst-passage timeGauss-Markov process
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Stochastic integrals (60H05)
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