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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