Representations for multivariate reciprocal Gaussian processes
Jean-Pierre Carmichael, Jean‐Claude Massé, Radu Theodorescu · IEEE Transactions on Information Theory · 1988
Multivariate reciprocal Gaussian processes are represented as a sum of two independent processes: a piecewise Markov process, which is also represented in terms of a Wiener-type process, and a time-dependent linear transformation of a normally distributed random vector. This result is then applied to the first-passage time problem.>