Sample Functions of the $N$-Parameter Wiener Process
Orey, Steven ; Pruitt, William E.
Ann. Probab., Tome 1 (1973) no. 5, p. 138-163 / Harvested from Project Euclid
Let $W^{(N)}$ denote the $N$-parameter Wiener process, that is a real-valued Gaussian process with zero means and covariance $\Pi^N_{i=1} (s_i \wedge t_i)$ where $s = \langle s_i\rangle, t = \langle t_i\rangle, s_i \geqq 0, t_i \geqq 0, i = 1, 2, \cdots N$. Then $W^{(N,d)}$ is to be the process with values in $R^d$ determined by making each component an $N$-parameter Wiener process, the components being independent. Our concern is with continuity and recurrence properties of the sample functions. In particular we give integral tests for upper functions which reduce in the case $N = d = 1$ to the integral tests of Kolmogorov, and of Chung-Erdos-Sirao. We formulate and prove precise statements of the fact that $W^{(N,d)}$ is interval recurrent (point recurrent) if and only if $d \leqq 2N (d < 2N)$.
Publié le : 1973-02-14
Classification:  Gaussian processes,  recurrence,  upper functions,  modulus of continuity,  60G15,  60G17
@article{1176997030,
     author = {Orey, Steven and Pruitt, William E.},
     title = {Sample Functions of the $N$-Parameter Wiener Process},
     journal = {Ann. Probab.},
     volume = {1},
     number = {5},
     year = {1973},
     pages = { 138-163},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176997030}
}
Orey, Steven; Pruitt, William E. Sample Functions of the $N$-Parameter Wiener Process. Ann. Probab., Tome 1 (1973) no. 5, pp.  138-163. http://gdmltest.u-ga.fr/item/1176997030/