By Larry Brown and others

We find the class, *{\cal{C}}_k, k \ge 0*, of all zero mean stationary Gaussian processes, *Y(t), ~t \in \reals* with *k* derivatives, for which \begin{equation} Z(t) \equiv (Y^{(0)}(t), Y^{(1)}(t), \ldots, Y^{(k)}(t) ), ~ t \ge 0 \end{equation} \noindent is a *(k+1)*-vector Markov process. (here, *Y^{(0)}(t) = Y(t)*).

January 1, 2014

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The General Stationary Gaussian Markov Process

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