On sample continuity of multidimensional Gaussian Markov processes

The main result of the paper is Theorem 4. It gives necessary and sufficient entropy conditions for sample continuity of a multidimensional Gaussian Markov process. The method of proof is based on the results of [3], where the problem of sample continuity of trajectories of a Gaussian process was re...

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Veröffentlicht in:Theory of probability and its applications 1994-12, Vol.38 (4), p.694-705
Hauptverfasser: SOLNTSEV, S. A, UL'YANOV, V. V
Format: Artikel
Sprache:eng
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Zusammenfassung:The main result of the paper is Theorem 4. It gives necessary and sufficient entropy conditions for sample continuity of a multidimensional Gaussian Markov process. The method of proof is based on the results of [3], where the problem of sample continuity of trajectories of a Gaussian process was reduced to the problem of almost sure convergence of specially constructed Gaussian sequences.
ISSN:0040-585X
1095-7219
DOI:10.1137/1138068