On a flow of transformations of a Wiener space

DOI10.1007/978-3-642-29982-7_5MaRDI QIDQ5261210zbMATH OpenOpenAlexFDO

Authors Joseph Najnudel, Daniel W. Stroock, Marc Yor

Publication date 2 July 2015

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1101.4974

zbMATH Keywords

flow of transformationsFourier transformGaussian processOrnstein-Uhlenbeck processesWiener space

Mathematics Subject Classification ID

Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Gaussian processes (60G15) Stochastic analysis (60H99) Diffusion processes (60J60)

Abstract: In this paper, we define, via Fourier transform, an ergodic flow of transformations of a Wiener space which preserves the law of the Ornstein-Uhlenbeck process and which interpolates the iterations of a transformation previously defined by Jeulin and Yor. Then, we give a more explicit expression for this flow, and we construct from it a continuous gaussian process indexed by R^2, such that all its restriction obtained by fixing the first coordinate are Ornstein-Uhlenbeck processes.

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