On infinite series of independent Ornstein-Uhlenbeck processes (Q1180170)

Let \(\{X_ k(t),\;t\in R^ 1\}\) be a sequence of independent Ornstein- Uhlenbeck processes with coefficients \(\gamma_ k\) and \(\lambda_ k\), i.e. \(X_ k(\cdot)\) is a stationary mean zero Gaussian process with \[ E X_ k(1)X_ k(t)=(\gamma_ k/\lambda_ k) \exp(-\lambda_ k| t- s|) \qquad (\lambda_ k,\gamma_ k>0,\;k=1,2,\dots). \] The existence and continuity, moduli of continuity, large increments of the process \(X(t)=\sum_{k=1}^ \infty X_ k(t)\) are proved. The results are generalizations of similar laws for standard Wiener process established by Csörgő and Révész (1979, 1981). The well-known Fernigue and Slepian inequalities are used.