On the structure of Gaussian random variables

MaRDI QIDQ3102654zbMATH OpenFDO

Authors Ciprian A. Tudor

Publication date 6 December 2011

Full work available at URL https://arxiv.org/abs/0907.2501

zbMATH Keywords

Gaussian random variableMalliavin calculusmultiple stochastic integralsrepresentation of martingales

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: We study when a given Gaussian random variable on a given probability space $(Omega,calF,P)$ is equal almost surely to $$ where $$ is a Brownian motion defined on the same (or possibly extended) probability space. As a consequences of this result, we prove that the distribution of a random variable (satisfying in addition a certain property) in a finite sum of Wiener chaoses cannot be normal. This result also allows to understand better some characterization of the Gaussian variables obtained via Malliavin calculus.

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Cited in

(8)

• Probability distributions arising from nested Gaussians
• Some remarks about the positivity of random variables on a Gaussian probability space
• On a covariance structure of some subset of self-similar Gaussian processes
• On the statistics of generalized Gaussian structures: collapse and random external fields
• scientific article; zbMATH DE number 1063299 (Why is no real title available?)
• scientific article; zbMATH DE number 766331 (Why is no real title available?)
• ON GAUSSIAN RANDOM MEASURES GENERATED BY EMPIRICAL DISTRIBUTIONS OF INDEPENDENT RANDOM VARIABLES
• On Gaussian and Bernoulli covariance representations

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