Measure-preserving transformations of Volterra Gaussian processes and related bridges
| dc.creator | Jost, Celine | |
| dc.date | 2007-01-30 | |
| dc.date | 2007-05-04 | |
| dc.date.accessioned | 2026-07-07T07:59:23Z | |
| dc.date.available | 2026-07-07T07:59:23Z | |
| dc.description | We consider Volterra Gaussian processes on [0,T], where T>0 is a fixed time horizon. These are processes of type X_t=\int^t_0 z_X(t,s)dW_s, t\in[0,T], where z_X is a square-integrable kernel, and W is a standard Brownian motion. An example is fractional Brownian motion. By using classical techniques from operator theory, we derive measure-preserving transformations of X, and their inherently related bridges of X. As a closely connected result, we obtain a Fourier-Laguerre series expansion for the first Wiener chaos of a Gaussian martingale over [0,\infty). | |
| dc.description | 21 pages | |
| dc.identifier | https://arxiv.org/abs/math/0701888 | |
| dc.identifier | http://arxiv.org/abs/math/0701888 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/128346 | |
| dc.subject | Probability | |
| dc.subject | 60G15; 37A05; 42C10; 60G44 | |
| dc.title | Measure-preserving transformations of Volterra Gaussian processes and related bridges | |
| dc.type | text |