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Representation and properties of CGPII processes

by Ole E. Barndorff-Nielsen and Jan Pedersen
Thiele Research Reports Number 3 (March 2009)
It is shown that the class of conditionally Gaussian processes with independent increments is stable under marginalisation and conditioning. Moreover, in general such processes can be represented as integrals of a time changed Brownian motion where the time change and the integrand are jointly independent of the Brownian motion. Examples are given.
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