Representations for multivariate reciprocal Gaussian processes |
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| Authors: | Carmichael J.-P. Masse J.-C. Theodorescu R. |
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| Affiliation: | Dept. of Math., Stat. & Actuary, Laval Univ., Quebec, Que.; |
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| Abstract: | Multivariate reciprocal Gaussian processes are represented as a sum of two independent processes: a piecewise Markov process, which is also represented in terms of a Wiener-type process, and a time-dependent linear transformation of a normally distributed random vector. This result is then applied to the first-passage time problem |
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