Reciprocal covariance solutions of some matrix differential equations

DOI10.1016/0304-4149(91)90059-LMaRDI QIDQ2640993zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Gaussian processmatrix differential equationsreciprocal stationary Gaussian process

Mathematics Subject Classification ID

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

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• Champs markoviens et mesures de Gibbs sur ${R}$
• First Passage Time for a Particular Gaussian Process
• Inertia characteristics of self-adjoint matrix polynomials
• Multivariate reciprocal stationary Gaussian processes
• Periodic Gaussian Osterwalder-Schrader positive processes and the two- sided Markov property on the circle
• Reciprocal Processes: The Stationary Gaussian Case
• Second-Order Markov and Reciprocal Stationary Gaussian Processes

Cited in

(1)

• Characterization of multivariate stationary Gaussian reciprocal diffusions

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