Editing Gauss–Markov process (section)

==Basic properties==
Every Gauss–Markov process ''X''(''t'') possesses the three following properties:<ref> C. B. Mehr and J. A. McFadden. Certain Properties of Gaussian Processes and Their First-Passage Times. Journal of the Royal Statistical Society. Series B (Methodological), Vol. 27, No. 3(1965), pp. 505-522</ref>
# If ''h''(''t'') is a non-zero scalar function of ''t'', then ''Z''(''t'') = ''h''(''t'')''X''(''t'') is also a Gauss–Markov process
# If ''f''(''t'') is a non-decreasing scalar function of ''t'', then ''Z''(''t'') = ''X''(''f''(''t'')) is also a Gauss–Markov process
# If the process is non-degenerate and mean-square continuous, then there exists a non-zero scalar function ''h''(''t'') and a strictly increasing scalar function ''f''(''t'') such that ''X''(''t'') = ''h''(''t'')''W''(''f''(''t'')), where ''W''(''t'') is the standard [[Wiener process]].
Property (3) means that every non-degenerate mean-square continuous Gauss–Markov process can be synthesized from the standard Wiener process (SWP).