A characterization of the infinitely divisible squared Gaussian processes

DOI10.1214/009117905000000684zbMATH Open1102.60031arXivmath/0504166OpenAlexW4297847946MaRDI QIDQ2496963FDOQ2496963

Authors: Nathalie Eisenbaum, Haya Kaspi 

Publication date: 26 July 2006

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

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.

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

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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)

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Cited In (16)

• On infinite divisibility of a class of two-dimensional vectors in the second Wiener chaos
• Markov loops and renormalization
• Characterization of positively correlated squared Gaussian processes
• Representations and isomorphism identities for infinitely divisible processes
• On permanental processes
• Title not available (Why is that?)
• Issues with the Smith-Wilson method
• Permanental vectors and selfdecomposability
• Dynkin isomorphism theorems revisited
• On the infinite divisibility of squared Gaussian processes
• 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
• Limit theorems for filtered long-range dependent random fields

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