On the representation of an integrated Gauss-Markov process

Abstract

We find a representation of the integral of a Gauss-Markov process in the interval [0, t], in terms of Brownian motion. Moreover, some connections with first-passagetime problems are discussed, and some examples are reported.

This is a new, revised version which corrects an error in the previous version

Cited by in corpus (1)

• On the excursions of drifted Brownian motion and the successive passage times of Brownian motion