This article is cited in 14 papers

Short Communications

Markov and reciprocal stationary Gaussian processes of second order

R. N. Mirošin

Leningrad State University

Abstract: Let $\xi_t$ be a differentiable stationary Gaussian process. We find all correlation functions of $\xi_t$ such that the process ($\xi_t,\dot\xi_t$) is Markov (Theorem 1) or reciprocal (Theorem 2).

Received: 11.07.1977

 English version: Theory of Probability and its Applications, 1980, 24:4, 845–852

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