Mixed Gaussian processes: a filtering approach
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Publication:317498
DOI10.1214/15-AOP1041zbMATH Open1351.60038arXiv1208.6253MaRDI QIDQ317498FDOQ317498
Chunhao Cai, Marina Kleptsyna, Pavel Chigansky
Publication date: 30 September 2016
Published in: The Annals of Probability (Search for Journal in Brave)
Abstract: This paper presents a new approach to the analysis of mixed processes [X_t=B_t+G_t,qquad tin[0,T],] where is a Brownian motion and is an independent centered Gaussian process. We obtain a new canonical innovation representation of , using linear filtering theory. When the kernel [K(s,t)=frac{partial^2}{partial s,partial t}mathbb{E}G_tG_s,qquad s
e t] has a weak singularity on the diagonal, our results generalize the classical innovation formulas beyond the square integrable setting. For kernels with stronger singularity, our approach is applicable to processes with additional "fractional" structure, including the mixed fractional Brownian motion from mathematical finance. We show how previously-known measure equivalence relations and semimartingale properties follow from our canonical representation in a unified way, and complement them with new formulas for Radon-Nikodym densities.
Full work available at URL: https://arxiv.org/abs/1208.6253
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