Identities in law between quadratic functionals of bivariate Gaussian processes, through Fubini theorems and symmetric projections

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dc.creatorPeccati, Giovanni
dc.creatorYor, Marc
dc.date2005-01-28
dc.date.accessioned2026-07-07T05:16:28Z
dc.date.available2026-07-07T05:16:28Z
dc.descriptionWe present three new identities in law for quadratic functionals of conditioned bivariate Gaussian processes. In particular, our results provide a two-parameter generalization of a celebrated identity in law, involving the path variance of a Brownian bridge, due to Watson (1961). The proof is based on ideas from a recent note by J. R. Pycke (2005) and on the stochastic Fubini theorem for general Gaussian measures proved in Deheuvels et al. (2004).
dc.identifierhttps://arxiv.org/abs/math/0501506
dc.identifierhttp://arxiv.org/abs/math/0501506
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/74002
dc.subjectProbability
dc.subjectAMS 2000: 60515, 60E10
dc.titleIdentities in law between quadratic functionals of bivariate Gaussian processes, through Fubini theorems and symmetric projections
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