Integral of a Gaussian stochastic process

Asked Dec 07 '19 at 22:17

Active Dec 07 '19 at 22:25

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I investigate if the integral below make some sense. I think it makes, since I do not define de derivate of a stochastic process itself rather its integral over a time interval.

$ w(t) = \int_{0}^{t} z(t) \, dt, \, z(t) = \mathcal{N}(\bar{z}, \Sigma) $

Best regards

edited Dec 07 '19 at 22:25

Math1000

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asked Dec 07 '19 at 22:17

Bruno Lobo

What is $z(t)$? – Math1000 Dec 07 '19 at 22:20
A gaussian process – Bruno Lobo Dec 07 '19 at 22:24
Your question seems to be addressed here, in more detail: https://math.stackexchange.com/questions/1471507/integral-of-a-gaussian-process – Math1000 Dec 07 '19 at 22:26

Integral of a Gaussian stochastic process

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