Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process
Résumé
The Laplace transform of partial sums of the square of a non-centered Gauss-Markov process, conditioning on its starting point, is explicitly computed. The parameters of multiplicative ergodicity are deduced.
Domaines
Probabilités [math.PR]| Origine | Fichiers produits par l'(les) auteur(s) |
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