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单词 Doob's Theorem
释义

Doob's Theorem

A theorem proved by Doob (1942) which states that any random process which is both Gaussian and Markov has the following forms for its correlation function,spectral density, and probability densities:


(1)
(2)
(3)
(4)

where is the Mean, the Standard Deviation, and the relaxation time.


References

Doob, J. L. ``Topics in the Theory of Markov Chains.'' Trans. Amer. Math. Soc. 52, 37-64, 1942.

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