A connection between Gaussian processes and Markov processes
A centered Gaussian process \((\eta_x,x\in R)\) with covariance \(G\) is considered. Connection of the function \(G\) with the Green function (the kernel of a potential operator) \(g_{T_a}\) of some recurrent Markov process killed at the first hitting time of \(a\), where \(\eta_a=0\), is investigated. The property: \(G=g_{T_a}\) if and only if for any \(c\in R\) the process \((\eta_x-c)^2\) is infinitely divisible, is proved. Another criterion of the infinite divisibility is obtained in terms of independent Gaussian random values. The results are generalized for the case of Gaussian random fields on a separable locally compact metric space.
- Étude de la covariance de quelques processus gaussiens en liaison avec la propriété de Markov. (Study of the covariance of some Gaussian processes with regard to the Markov property)
- On the infinite divisibility of squared Gaussian processes
- Sample path properties of the local times of strongly symmetric Markov processes via Gaussian processes
- Gaussian and non-Gaussian random fields associated with Markov processes
- On the Gaussian characterization of certain second-order processes with specified covariance
- On permanental processes
- Existence of a critical point for the infinite divisibility of squares of Gaussian vectors in \(\mathbb R^{2}\) with non-zero mean
- The generators of a Gaussian wave associated with the free Markov field
- Exit distributions for symmetric Markov processes via Gaussian techniques
- Characterization of positively correlated squared Gaussian processes
- A characterization of the infinitely divisible squared Gaussian processes
- Dynkin isomorphism theorems revisited
- The isomorphism theorem of Dynkin via loop measures
- Étude de la covariance de quelques processus gaussiens en liaison avec la propriété de Markov. (Study of the covariance of some Gaussian processes with regard to the Markov property)
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