A Connection between Gaussian Processes and Markov Processes

Nathalie Eisenbaum (Universités Paris 6 et 7, France)

Abstract


The Green function of a transient symmetric Markov process can be interpreted as the covariance of a centered Gaussian process. This relation leads to several fruitful identities in law. Symmetric Markov processes and their associated Gaussian process both benefit from these connections. Therefore it is of interest to characterize the associated Gaussian processes. We present here an answer to that question.

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Pages: 202-215

Publication Date: March 4, 2005

DOI: 10.1214/EJP.v10-238

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