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

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

Review text

Let \(\{\) X(\(\tau\)), \(a\leq \tau \leq b\}\) be a random process. Assume that (*) \(a\leq c<s<t<d\leq b\). Let \({\mathcal E}(s,t)\) be the \(\sigma\)-field generated by \(\{X(r),\quad r\in (c,d)\setminus (s,t)\}\) and \({\mathcal F}(s,t)\) be the \(\sigma\)-field generated by \(\{X(r),\quad r\in (s,t)\}.\) The process X(\(\tau\)) is called (c,d)-reciprocal, if for each s,t satisfying (*), \({\mathcal E}(s,t)\) and \({\mathcal F}(s,t)\) are conditionally independent given X(s) and X(t). It is shown that the covariance matrix function of a multivariate reciprocal stationary Gaussian process with continuous parameters satisfies two related matrix differential equations. The authors solve also the inverse problem, under which conditions two appropriately related matrix differential equations have a common solution that is the covariance matrix function of a reciprocal stationary Gaussian process.

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• Multivariate reciprocal stationary Gaussian processes
• Gaussian reciprocal processes and self-adjoint stochastic differential equations of second order
• Characterization of multivariate stationary Gaussian reciprocal diffusions
• A Maximum Entropy solution of the Covariance Extension Problem for Reciprocal Processes
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Cited in

(2)

• Characterization of multivariate stationary Gaussian reciprocal diffusions
• Gaussian reciprocal processes and self-adjoint stochastic differential equations of second order

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