Stationary systems of Gaussian processes
Kabluchko, Zakhar
Ann. Appl. Probab., Tome 20 (2010) no. 1, p. 2295-2317 / Harvested from Project Euclid
We describe all countable particle systems on ℝ which have the following three properties: independence, Gaussianity and stationarity. More precisely, we consider particles on the real line starting at the points of a Poisson point process with intensity measure $\mathfrak{m}$ and moving independently of each other according to the law of some Gaussian process ξ. We classify all pairs $(\mathfrak{m},\xi)$ generating a stationary particle system, obtaining three families of examples. In the first, trivial family, the measure $\mathfrak{m}$ is arbitrary, whereas the process ξ is stationary. In the second family, the measure $\mathfrak{m}$ is a multiple of the Lebesgue measure, and ξ is essentially a Gaussian stationary increment process with linear drift. In the third, most interesting family, the measure $\mathfrak{m}$ has a density of the form αe−λx, where α > 0, λ ∈ ℝ, whereas the process ξ is of the form ξ(t) = W(t) − λσ2(t) / 2 + c, where W is a zero-mean Gaussian process with stationary increments, σ2(t) = Var  W(t), and c ∈ ℝ.
Publié le : 2010-12-15
Classification:  Gaussian processes,  Poisson point processes,  processes with stationary increments,  particle systems,  stationarity,  extremes,  60G15,  60G55
@article{1287494561,
     author = {Kabluchko, Zakhar},
     title = {Stationary systems of Gaussian processes},
     journal = {Ann. Appl. Probab.},
     volume = {20},
     number = {1},
     year = {2010},
     pages = { 2295-2317},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1287494561}
}
Kabluchko, Zakhar. Stationary systems of Gaussian processes. Ann. Appl. Probab., Tome 20 (2010) no. 1, pp.  2295-2317. http://gdmltest.u-ga.fr/item/1287494561/