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Representations for multivariate reciprocal Gaussian processes

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3 Author(s)
Carmichael, J.-P. ; Dept. of Math., Stat. & Actuary, Laval Univ., Quebec, Que., Canada ; Masse, J.-C. ; Theodorescu, R.

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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Information Theory, IEEE Transactions on  (Volume:34 ,  Issue: 1 )