Path properties of kernel generated two-time parameter Gaussian processes

DOI10.1007/BF01199787MaRDI QIDQ2277653zbMATH OpenFDO

Authors Miklós Csörgo, Zhengyan Lin

Publication date 1991

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01199787

zbMATH Keywords

kernel functiontwo-parameter Gaussian processestwo-parameter Wiener process

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17)

Review text

We study path properties of two-parameter Gaussian processes \(\{\) X(t,v), \(t\in {\mathbb{R}}, v\in {\mathbb{R}}^+\}\) of the form \(X(t,v)=\int^{\infty}_{0}\int^{\infty}_{-\infty}\Gamma (t,v,x,y)dW(x,y),\) where the kernel function \(\Gamma\) (t,v,x,y) is assumed to be square integrable in (x,y) on \({\mathbb{R}}\times {\mathbb{R}}^+\), and W(x,y) is a standard two-parameter Wiener process.

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Cited in

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• Increments and sample path properties of Gaussian processes
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