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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2405.18270 |
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Table of Contents:
- The covariance function of a Gauss-Markov process evaluated at points $(s,t)$ admits a representation as a product of a function of $\min(s,t)$ and a function of $\max(s,t)$. We call these functions the covariance factors of a Gauss-Markov process, and give the expression of the quadratic variation of a Gauss-Markov semimartingale in terms of its covariance factors.