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 Electronic Journal of Probability > Vol. 10 (2005) > Paper 6 open journal systems 


A Connection between Gaussian Processes and Markov Processes

Nathalie Eisenbaum, Universités Paris 6 et 7, France


Abstract
The Green function of a transient symmetric Markov process can be interpreted as the covariance of a centered Gaussian process. This relation leads to several fruitful identities in law. Symmetric Markov processes and their associated Gaussian process both benefit from these connections. Therefore it is of interest to characterize the associated Gaussian processes. We present here an answer to that question.


Full text: PDF

Pages: 202-215

Published on: March 4, 2005
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Electronic Journal of Probability. ISSN: 1083-6489