Increment stationarity of L^2-indexed stochastic processes: spectral representation and characterization

DOI10.1214/16-ECP4727MaRDI QIDQ287825zbMATH OpenFDO

Authors Alexandre Richard

Publication date 23 May 2016

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.06232, https://projecteuclid.org/euclid.ecp/1459966700

zbMATH Keywords

fractional Brownian motionrandom fieldsspectral representationstationarity

Mathematics Subject Classification ID

Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Stationary stochastic processes (60G10) Gaussian processes (60G15) Random measures (60G57) Random fields (60G60)

Abstract: We are interested in the increment stationarity property for $L^2$-indexed stochastic processes, which is a fairly general concern since many random fields can be interpreted as the restriction of a more generally defined $L^2$-indexed process. We first give a spectral representation theorem in the sense of citet{Ito54}, and see potential applications on random fields, in particular on the $L^2$-indexed extension of the fractional Brownian motion. Then we prove that this latter process is characterized by its increment stationarity and self-similarity properties, as in the one-dimensional case.

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(2)

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