On the equivalence of multiparameter Gaussian processes (Q867078): Difference between revisions
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Revision as of 03:13, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the equivalence of multiparameter Gaussian processes |
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On the equivalence of multiparameter Gaussian processes (English)
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14 February 2007
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The authors characterize all Gaussian processes that are equivalent in law with a Brownian sheet and to a fractional Brownian sheet. The multiparameter analogues of the Hitsuda-type, Girsanov and Shepp-type representations of Gaussian processes are given. By using the Hitsuda representation, the existence and uniqueness of the solution of a stochastic equation where the noise term is a (non)fractional Brownian sheet, is proved.
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equivalence of Gaussian processes
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Hitsuda representation
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Shepp representation
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canonical representation of Gaussian processes
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Girsanov theorem
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stochastic differential equations
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