Characterizations of polynomial-Gaussian processes that are Markovian

• Autorzy: Plucińska A.
• Języki publikacji: EN

Abstrakty

EN

We consider questions of characterizing a stochastic process X= (X_t, t ≥ 0) by the properties of the first two conditional moments. Our first result is a new version of the classical P. Lévy characterization theorem for martingales. Next we deal with a characterization of processes without continuous trajectories. We consider a special form of the initial state. Namely, we suppose that the r.v. X₀ has a polynomial-normal distribution (PND), i.e. the density of X₀ is the product of a positive polynomial and a normal density.

Słowa kluczowe

EN

polynomial-Gaussian processes; Markov process; stochastic process

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2003
• Tom: Vol. 23, Fasc. 1
• Strony: 7--18
• Opis fizyczny: Bibliogr. 10 poz.

Twórcy

autor

Plucińska A.

• Department of Mathematics and Information Science, Warsaw University of Technology, pl. Politechniki 1, 00-661 Warsaw, Poland

Bibliografia

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