Some Double Markov Gaussian Processes
Akio Noda · HamaMed-Repository (Hamamatsu University School of Medicine) · 1992
We discuss a stationary Gaussian process U(t), t ∈ R, having a correlation function of the form c1e-λ1|t|+c2e-λ2|t|, and give a complete description of the double Markov structure of U(t) on the half-line t ≽ 0. In fact, we obtain the exact form of KM2O-Langevin equation as well as the canonical representation of U(t), t ≽ 0.