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TWO TYPES OF MARKOV PROPERTY
Markov chains in the strict sense and in the wide sense linear prediction covariance function cyclostationary distribution
2009/9/18
The paper gives some insight into the relations between two
types of Markov processes – in the strict sense and in the wide sense – as
well as into two aspects of periodicity. It concerns Markov pro...
Fractional Brownian Motion and the Markov Property
Gaussian processes Markov Processes Numerical Approximation Ergodic Theorem
2009/5/8
Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process. This leads naturally to:
1. A...