Properties of Hida processes on R^ 2. II. Prediction and interpolation problems for processes on R^ 2

DOI10.1016/0047-259X(84)90057-5MaRDI QIDQ2266526zbMATH OpenFDO

Authors Bernard Prum

Publication date 1984

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(84)90057-5

zbMATH Keywords

Hida propertylinear interpolationstochastic integralstwo-parameter Wiener process

Mathematics Subject Classification ID

General second-order stochastic processes (60G12) Random fields (60G60) Continuous-time Markov processes on general state spaces (60J25) Lattice systems (Ising, dimer, Potts, etc.) and systems on graphs arising in equilibrium statistical mechanics (82B20)

Review text

This paper is a continuation of another article [ibid. 15, 336-360 (1984; Zbl 0552.60047)] where the author has studied the Hida property relative to the family of \(\sigma\)-fields \(\{\) \({\mathcal F}_ z,z\in {\mathbb{R}}^ 2\}\) generated by a two-parameter Wiener process. Now one considers the Hida property with respect to the \(\sigma\)-fields \({\mathcal G}_ z\) corresponding to the values of the Wiener process on the set \(\{\) (u,v):u\(\leq s\) or \(v\leq t\}\), \(z=(s,t)\). The theory is developed for processes allowing a Goursat representation of the form \(Y_ z=\sum_{i}f_ i(z)M_ i(z)\) where \(M_ i(z)\) are martingales. In general, the linear projection of the future of z on \({\mathcal G}_ z\) has infinite dimension and, therefore, the study is restricted to projections of \(p\times q\) lattices. The dimension of these projections is analyzed in relation with the fact that one of the martingales \(M_ i(z)\) is not strong. The author shows that this dimension is bounded by \(N(p+q-1)\) if all martingales are strong. Finally he studies the problem of linear interpolation from the exterior of a rectangle, assuming that \(Y_ z\) is a Gaussian process with a Goursat representation by means of stochastic integrals of kernels that factorize. The author finds an upper bound for the dimension of the projection of a lattice of points inside the rectangle.

Recommendations

• Characterisations of set-indexed Brownian motion and associated conditions for finite-dimensional convergence
• Multiresolution Hilbert approach to multidimensional Gauss-Markov processes
• A white noise approach to the self-intersection local times of a Gaussian process
• scientific article; zbMATH DE number 3844749
• Embedding the abstract Wiener space in a probability space
• Gaussian distributions and intersection local time
• scientific article; zbMATH DE number 3850195
• scientific article; zbMATH DE number 605427
• scientific article; zbMATH DE number 3923787
• On generalized local time for the process of Brownian motion

Cites work

• Différents types de variations produit pour une semi-martingale représentable de \([0,1]^2\)
• Martingales and stochastic integrals for processes with a multi-dimensional parameter
• Properties of Hida processes on \({\mathbb{R}}^ 2\). I: N-Hida processes

Cited in

(1)

• Properties of Hida processes on \({\mathbb{R}}^ 2\). I: N-Hida processes

This page was built for publication: Properties of Hida processes on \({\mathbb{R}}^ 2\). II. Prediction and interpolation problems for processes on \({\mathbb{R}}^ 2\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2266526)