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On complex operator-valued O-U processes, T-positivity, and innovations of Okabe and Masani

This paper gives innovation of an infinite-dimensional isometric Markov stationary process. In terms of this innovation the process is expressed as an Ornstein-Uhlenbeck process. The result includes the innovation results provided earlier by Masani and Okabe. We use techniques of Nagy dilation theory which also yield a direct proof of the main result of Okabe on the structure of T-positive processes.
Year of publication:
1989
Authors: Makagon, A. ; Mandrekar, V.
Published in:
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 29.1989, 1, p. 68-83
Publisher: Elsevier
Subject: stationary Markov process innovation T-positivity
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10005152761
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