On the representation of an integrated Gauss-Markov process
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Publication:2800131
zbMath1336.60154arXiv1307.5970MaRDI QIDQ2800131
Publication date: 14 April 2016
Full work available at URL: https://arxiv.org/abs/1307.5970
diffusion; stochastic differential equation; Brownian motion; stochastic integral; first-passage time; Gauss-Markov process
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J65: Brownian motion
60J60: Diffusion processes
60H05: Stochastic integrals
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