Decompositions of stochastic processes based on irreductible group representations

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Let G be a topological compact group acting on some space Y. We study a decomposition of Y-indexed stochastic processes, based on the orthogonality relations between the characters of the irreducible representations of G. In the particular case of a Gaussian process with a G-invariant law, such a decomposition gives a very general explanation of a classic identity in law - between quadratic functionals of a Brownian bridge - due to Watson (1961). Several relations with Karhunen-Loève expansions are discussed, and some applications and extensions are given - in particular related to Gaussian processes indexed by a torus.
27 pages

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Probability, MCS: 60G15 60G07 60H05 20C15

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http://salesiana.dossiersoluciones.com/handle/123456789/94882

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0509569
 http://arxiv.org/abs/math/0509569

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arXiv