Stochastic Processes Induced by Singular Operators

DOI10.1080/01630563.2012.682132zbMATH Open1260.60137arXiv1109.5273OpenAlexW2086365754MaRDI QIDQ2919975FDOQ2919975

Authors: Palle Jorgensen, Daniel Alpay 

Publication date: 23 October 2012

Published in: Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Abstract: In this paper we study a general family of multivariable Gaussian stochastic processes. Each process is prescribed by a fixed Borel measure $sigma$ on $mathbb{R}^n$. The case when $sigma$ is assumed absolutely continuous with respect to Lebesgue measure was studied earlier in the literature, when $n=1$. Our focus here is on showing how different equivalence classes (defined from relative absolute continuity for pairs of measures) translate into concrete spectral decompositions of the corresponding stochastic processes under study. The measures $sigma$ we consider are typically purely singular. Our proofs rely on the theory of (singular) unbounded operators in Hilbert space, and their spectral theory.

Full work available at URL: https://arxiv.org/abs/1109.5273

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zbMATH Keywords

Gaussian processessingular measuresunbounded operators

Mathematics Subject Classification ID

Gaussian processes (60G15) Generalized stochastic processes (60G20) White noise theory (60H40)

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Cited In (29)

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• New Hilbert space tools for analysis of graph Laplacians and Markov processes

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