arXiv · 1401.0251
The General Stationary Gaussian Markov Process
Abstract
We find the class, ${\cal{C}}_k, k \ge 0$, of all zero mean stationary Gaussian processes, $Y(t), ~t \in \reals$ with $k$ derivatives, for which \begin{equation} Z(t) \equiv (Y^{(0)}(t), Y^{(1)}(t), \ldots, Y^{(k)}(t) ), ~ t \ge 0 \end{equation} \noindent is a $(k+1)$-vector Markov process. (here, $Y^{(0)}(t) = Y(t)$).
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Larry Brown, Philip Ernst, Larry Shepp, Bob Wolpert. 2014-01-01. The General Stationary Gaussian Markov Process. https://arxiv.org/abs/1401.0251
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