The General Stationary Gaussian Markov Process

Larry Brown, Philip Ernst, Larry Shepp +1

We find the class, ${\mathcal{C}}_k,k\ge 0$, of all zero mean stationary Gaussian processes, $Y(t),t\in \mathbb{R}$ with $k$ derivatives, for which \begin{equation} Z(t) \equiv (Y^{(0…