Remarks on wide sense equivalents of continuous Gauss-Markov processes in Rn
Modeling
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Abstract
A characterization of the first and second order moments of a stochastic multi-variate process on [0,∞)∋t having a wide sense equivalent process which has the same dimension and is generated by a linear Ito-equation with time-dependent coefficients (called a simple diffusion process in the paper) is given in Proposition 1, Section 2. The rest of the paper is an informal discussion around the result.
Keywords
Markov Process Gaussian Process Wide Sense Simple Diffusion Vector Process
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References
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