On Multivariate Wide-sense Markov Processes

Abstract

The idea of multivariate wide-sense Markov processes has been recently used by F.J. Beutler [1], In his paper, he shows that the solution of a linear vector stochastic differential equation in a wide-sense Markov process. We obtain here a characterization of such processes and as its consequence obtain the conditions under which it satisfies Beutler’s equation. Furthermore, in stationary Gaussian case we show that these are precisely stationary Gaussian Markov processes studied by J. Doob [5].