The General Stationary Gaussian Markov Process
  We find the class, ${\cal{C}}_k, k \ge 0$, of all zero mean stationary Gaussian processes, $Y(t), ~t \in \reals$ with $k$ derivatives, for which   \begin{equation} Z(t) \equiv (Y^{(0)}(t), Y^{(1)}(t), \ldots, Y^{(k)}(t) ), ~ t \ge 0 \end{equation}   \noindent is a $(k+1)$-vector Markov process. (here, $Y^{(0)}(t) = Y(t)$). 
Larry Brown, Philip Ernst, Larry Shepp, Bob Wolpert
math.PR