On a Criterion for Gaussian Random Processes to Be Markovian

DOI10.1137/1127097MaRDI QIDQ3672817zbMATH OpenOpenAlexFDO

Authors Igor S. Borisov

Publication date 1982

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1127097

zbMATH Keywords

covariance functionGaussian Markov process

Mathematics Subject Classification ID

Gaussian processes (60G15) Continuous-time Markov processes on general state spaces (60J25)

Cited in

(8)

• Characterization of discrete scale invariant Markov sequences
• On stable Markov processes
• Optimal stopping of Gauss-Markov bridges
• Exponential inequalities for the distribution tails of multiple stochastic integrals with respect to Gaussian integrating processes
• Self-similar Gaussian Markov processes
• Gaussian reciprocal processes revisited
• Exponential utility maximization with delay in a continuous time Gaussian framework
• Small ball probabilities for Gaussian Markov processes under the \(L_p\)-norm.

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