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arXiv:1307.5970 [math.PR]AbstractReferencesReviewsResources

On the representation of an integrated Gauss-Markov process

Mario Abundo

Published 2013-07-23, updated 2017-07-11Version 2

We find a representation of the integral of a Gauss-Markov process in the interval [0, t], in terms of Brownian motion. Moreover, some connections with first-passagetime problems are discussed, and some examples are reported.

Comments: This is a new, revised version which corrects an error in the previous version
Journal: Scientiae Mathematicae Japonicae Online 26 (2013) 719-723
Categories: math.PR
Subjects: 60J60, 60H05, 60H10
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