Multiresolution Hilbert Approach to Multidimensional Gauss-Markov Processes
Multiresolution Hilbert Approach to Multidimensional Gauss-Markov Processes
The study of multidimensional stochastic processes involves complex computations in intricate functional spaces. In particular, the diffusion processes, which include the practically important Gauss-Markov processes, are ordinarily defined through the theory of stochastic integration. Here, inspired by the Lévy-Cieselski construction of the Wiener process, we propose an alternative representation of …