Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process

Marina Kleptsyna; Alain Le Breton; Bernard Ycart

doi:10.1016/j.spl.2013.12.023

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arXiv · 1312.5661

Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process

Marina Kleptsyna·Alain Le Breton·Bernard Ycart

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Abstract

The Laplace transform of partial sums of the square of a non-centered Gauss-Markov process, conditioning on its starting point, is explicitly computed. The parameters of multiplicative ergodicity are deduced.

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Marina Kleptsyna, Alain Le Breton, Bernard Ycart. 2013-12-20. Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process. https://doi.org/10.1016/j.spl.2013.12.023

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