Reciprocal covariance solutions of some matrix differential equations

DOI10.1016/0304-4149(91)90059-LzbMATH Open0721.60041OpenAlexW2035250738MaRDI QIDQ2640993FDOQ2640993

Authors: Jean-Claude Massé, J. P. Carmichael, Radu Theodorescu 

Publication date: 1991

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(91)90059-l

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zbMATH Keywords

Gaussian processmatrix differential equationsreciprocal stationary Gaussian process

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Stationary stochastic processes (60G10)

Cites Work

• Inertia characteristics of self-adjoint matrix polynomials
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• First Passage Time for a Particular Gaussian Process
• Reciprocal Processes: The Stationary Gaussian Case
• Champs markoviens et mesures de Gibbs sur ${R}$
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• Periodic Gaussian Osterwalder-Schrader positive processes and the two- sided Markov property on the circle
• Multivariate reciprocal stationary Gaussian processes
• Title not available (Why is that?)
• Second-Order Markov and Reciprocal Stationary Gaussian Processes
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (1)

• Characterization of multivariate stationary Gaussian reciprocal diffusions

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