- Research Article
63
- 10.1080/17442509108833674
Gaussian reciprocal processes and self-adjoint stochastic differential equations of second order
- Jan 01, 1991
- Stochastics and Stochastic Reports
- Arthur J Krener + 2 more +2
We show that under suitable conditions the covariance of a Gaussian reciprocal process satisfies a self-adjoint linear differential equation of second order. We also give a revised definition of a linear stochastic differential equation of second order and necessary and sufficient conditions for the existence of solutions of such equations with Dirichlet boundary conditions. We close with a series of examples of the theory applied to the scalar stationary Gaussian Reciprocal processes which have been completely classified.
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