On the regularity of random Ornstein-Uhlenbeck functions with values in l_ p,\;p[1,[

DOI10.1214/AOP/1176989699MaRDI QIDQ1201181zbMATH OpenOpenAlexFDO

Authors Xavier Fernique

Publication date 17 January 1993

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176989699

zbMATH Keywords

covariance functionOrnstein-Uhlenbeck processregularity conditions

Mathematics Subject Classification ID

Sample path properties (60G17)

Review text

The author studies regularity of \(R^ \infty\)-valued random functions \(X=(X_ n,\;n\geq 1)\) such that \(X_ n(t)=a_ nx_ n(b_ nt)\) where \(a_ n>0\), \(b_ n>0\) and \(x_ n(t)\), \(-\infty<t<\infty\), is an i.i.d. sequence of Gaussian centred stationary real random functions on \(R\). An example of such a random function is the Ornstein-Uhlenbeck process. Under the assumption that the common covariance function of \(x_ n\) satisfies some regularity conditions, the author proves that the sample paths of the process are continuous in \(l_ p\), \(1\leq p<\infty\), iff they are in this space and an integral depending uniquely on \(p\), \(\{a_ n\}\) and \(\{b_ n\}\) is finite. These results extend earlier work of the author [Ann. Inst. Henri Poincaré, Probab. Stat. 26, No. 3, 399-417 (1990; Zbl 0706.60041); and Probab. Theory Relat. Fields 88, No. 4, 521- 536 (1991; Zbl 0722.60032)].

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Cited in

(8)

• On almost sure limit inferior for B-valued stochastic processes and applications
• Increments and sample path properties of Gaussian processes
• Fonctions aléatoires à valeurs dans les espaces lusiniens. (Random functions with values in Lusin spaces)
• Bounds for stochastic processes on product index spaces
• scientific article; zbMATH DE number 4052696 (Why is no real title available?)
• scientific article; zbMATH DE number 4104104 (Why is no real title available?)
• Sample Path Properties of l^p -Valued Ornstein-Uhlenbeck Processes
• Sur la régularité de certaines fonctions aléatoires d'Ornstein- Uhlenbeck. (On the regularity of certain Ornstein-Uhlenbeck random processes)

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