Stationary Transformation of Integrated Brownian Motion

Simple item page
dc.creatorWong, Eugene
dc.date2004-12-15
dc.date.accessioned2026-07-07T05:15:18Z
dc.date.available2026-07-07T05:15:18Z
dc.descriptionConsider an n-fold integrated Brownian motion. We show that a simple change in time and scale transforms it into a stationary Gaussian process. The collection of stationary processes so constructed not only constitutes an interesting family of processes, but their spectral representation is also useful in dealing with integrated Brownian motion. We illustrate this by deriving an explicit representation for the joint density function for a family of integrated Brownian motions and showing some of its properties.
dc.description18 pages
dc.identifierhttps://arxiv.org/abs/math/0412291
dc.identifierhttp://arxiv.org/abs/math/0412291
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/73587
dc.subjectProbability
dc.subject60G15; 60G10
dc.titleStationary Transformation of Integrated Brownian Motion
dc.typetext

Files

Collections

arXiv