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Representation and properties of a class of conditionally Gaussian processes

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  • Institut for Matematiske Fag
It is shown that the class of conditionally Gaussian processes with independent increments is stable under marginalisation and conditioning. Moreover, in general such processes can be represented as integrals of a time changed Brownian
motion where the time change and the integrand are jointly independent of the Brownian motion. Examples are given.
OriginalsprogEngelsk
TidsskriftAlea
Vol/bind6
Sider (fra-til)179-197
Antal sider19
ISSN1517-106X
StatusUdgivet - 2009

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