We show that, up to multiplication by constants, a Gaussian process has an infinitely divisible square if and only if its covariance is the Green function of a transient Markov process.
Publié le : 2006-03-14
Classification:
Gaussian processes,
infinite divisibility,
Markov processes,
local time,
60E07,
60G15,
60J25,
60J55
@article{1147179987,
author = {Eisenbaum, Nathalie and Kaspi, Haya},
title = {A characterization of the infinitely divisible squared Gaussian processes},
journal = {Ann. Probab.},
volume = {34},
number = {1},
year = {2006},
pages = { 728-742},
language = {en},
url = {http://dml.mathdoc.fr/item/1147179987}
}
Eisenbaum, Nathalie; Kaspi, Haya. A characterization of the infinitely divisible squared Gaussian processes. Ann. Probab., Tome 34 (2006) no. 1, pp. 728-742. http://gdmltest.u-ga.fr/item/1147179987/