A characterization of the infinitely divisible squared Gaussian processes

DOI10.1214/009117905000000684MaRDI QIDQ2496963zbMATH OpenOpenAlexFDO

Authors Nathalie Eisenbaum, Haya Kaspi

Publication date 26 July 2006

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

Full work available at URL https://arxiv.org/abs/math/0504166

zbMATH Keywords

infinite divisibilityMarkov processeslocal time

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Gaussian processes (60G15) Continuous-time Markov processes on general state spaces (60J25) Local time and additive functionals (60J55)

Abstract: We show that, up to multiplication by constants, a Gaussian process has an infinitely divisible square if and only if its covariance is the Green function of a transient Markov process.

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Cited in

(16)

• Limit theorems for filtered long-range dependent random fields
• On infinite divisibility of a class of two-dimensional vectors in the second Wiener chaos
• Markov loops and renormalization
• Representations and isomorphism identities for infinitely divisible processes
• Characterization of positively correlated squared Gaussian processes
• On permanental processes
• scientific article; zbMATH DE number 1619475 (Why is no real title available?)
• Issues with the Smith-Wilson method
• Permanental vectors and selfdecomposability
• On the infinite divisibility of squared Gaussian processes
• Dynkin isomorphism theorems revisited
• Stochastic order for alpha-permanental point processes
• A flexible Clayton-like spatial copula with application to bounded support data
• Infinite divisibility of Gaussian squares with non-zero means
• Stein characterizations for linear combinations of gamma random variables
• Existence of a critical point for the infinite divisibility of squares of Gaussian vectors in \(\mathbb R^{2}\) with non-zero mean

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