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2005 A Connection between Gaussian Processes and Markov Processes
Nathalie Eisenbaum
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Electron. J. Probab. 10: 202-215 (2005). DOI: 10.1214/EJP.v10-238

Abstract

The Green function of a transient symmetric Markov process can be interpreted as the covariance of a centered Gaussian process. This relation leads to several fruitful identities in law. Symmetric Markov processes and their associated Gaussian process both benefit from these connections. Therefore it is of interest to characterize the associated Gaussian processes. We present here an answer to that question.

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Nathalie Eisenbaum. "A Connection between Gaussian Processes and Markov Processes." Electron. J. Probab. 10 202 - 215, 2005. https://doi.org/10.1214/EJP.v10-238

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Accepted: 4 March 2005; Published: 2005
First available in Project Euclid: 1 June 2016

zbMATH: 1081.60015
MathSciNet: MR2120243
Digital Object Identifier: 10.1214/EJP.v10-238

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