Prosés Gauss-Markov

Prosés stokastik Gauss-Markov (dingaranan tina Carl Friedrich Gauss jeung Andrey Markov) nyaéta prosés stokastic processk nu luyu jeung sarat-sarat boh keur prosés Gaussian atawa prosés Markov.

Tiap prosés Gauss-Markov X(t) mibanda tilu pasipatan ieu:

1. Mun h(t) mangrupa fungsi skalar lain-enol t, mangka Z(t) = h(t)X(t) kaasup prosés Gauss-Markov
2. Mun f(t) is a non-decréasing scalar function of t, then Z(t) = X(f(t)) is also a Gauss-Markov process
3. There exists a non-zero scalar function h(t) and a non-decréasing scalar function f(t) such that X(t) = h(t)W(f(t)), where W(t) is the standard Wiener process.

Pasipatan (3) ngandung harti yén sakabéh prosés Gauss-Markov bisa disintésis tina prosés Wiener baku (standard Wiener process, SWP).