Preprint No.
A-00-20
Bernd Schmidt, Peter Mathé
Interpolation of Gauss-Markov processes
Abstract:
We study the problem of simulation of conditioned Gaussian
processes. If the number of conditions is large, then such
simulation is effective only, if at any specific time, only a few
conditions have to be taken into account.
We shall see, that local interpolation is tied to the Markov
property. For Gaussian Markov processes we establish some explicit
formulae for conditional mean and covariance and discuss some
applications.
Keywords: Gauss-Markov process, conditional distribution, stochastic
differential equation
Mathematics Subject Classification (MSC91):
Primary 65C05, Secondary 60G15, 60J25
Language: ENG
Available: Pr-A-00-20.ps
Contact: Bernd Schmidt, Freie Universität Berlin, Fachbereich Mathematik und Informatik, Arnimallee 2-6, D-14195 Berlin, Germany (bschmidt@math.fu-berlin.de)
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