Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process
Probability
2014-01-30 v2
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.
Keywords
Cite
@article{arxiv.1312.5661,
title = {Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process},
author = {Marina Kleptsyna and Alain Le Breton and Bernard Ycart},
journal= {arXiv preprint arXiv:1312.5661},
year = {2014}
}