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Representations of
Gaussian processes by Wiener processes
Chull Park |
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Vol. 94 (1981), No. 2, 407–415
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Abstract |
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Let {X(t),a ≦ t ≦ b} and {W(t),0 ≦ t < ∞} be a Gaussian process and the standard Wiener process, respectively. Investigating covariance structure of X(t), the paper gives various representations of X(t) in terms of W(t), including stochastic integral representations. Some of these representations are useful in finding hitherto unknown barrier-crossing probabilities of X(t). |
Mathematical Subject Classification 2000
Primary: 60G15
Secondary: 60J65
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Milestones
Received: 18 February 1980
Published: 1 June 1981
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Authors |
| Chull Park | |
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