On the representation of an integrated Gauss-Markov process
Probability
2017-07-20 v3
Abstract
We find a representation of the integral of a Gauss-Markov process in the interval [0, t], in terms of Brownian motion. Moreover, some connections with first-passagetime problems are discussed, and some examples are reported.
Cite
@article{arxiv.1307.5970,
title = {On the representation of an integrated Gauss-Markov process},
author = {Mario Abundo},
journal= {arXiv preprint arXiv:1307.5970},
year = {2017}
}
Comments
This is a new, revised version which corrects an error in the previous version