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

Author

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  • Makagon, A.
  • Mandrekar, V.

Abstract

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.

Suggested Citation

  • Makagon, A. & Mandrekar, V., 1989. "On complex operator-valued O-U processes, T-positivity, and innovations of Okabe and Masani," Journal of Multivariate Analysis, Elsevier, vol. 29(1), pages 68-83, April.
    • Handle: RePEc:eee:jmvana:v:29:y:1989:i:1:p:68-83
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