Copyright © 2002 Elsevier Science B.V. All rights reserved.
Markovianity of a subset of components of a Markov process
Received 10 October 2000;
revised 27 January 2002.
Available online 19 April 2002.
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Abstract
We consider the necessary and sufficient conditions for a group of the components of a stationary vector Gaussian Markov process to possess Markov property. The representation by a linear Itô stochastic differential equation is also given.
Author Keywords: Markov process; Stochastic realization; Forward and backward representations







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