A group action on increasing sequences of set-indexed Brownian motions

DOI10.15559/15-VMSTA31MaRDI QIDQ340775zbMATHOpenAlexFDO

Authors Arthur Yosef

Publication date 15 November 2016

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1508.02858

zbMATH Keywords

increasing pathset-indexed Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Brownian motion (60J65) Generalizations of martingales (60G48)

Abstract: We prove that a square-integrable set-indexed stochastic process is a set-indexed Brownian motion if and only if its projection on all the strictly increasing continuous sequences are one-parameter $G$-time-changed Brownian motions. In addition, we study the "sequence-independent variation" property for group stationary-increment stochastic processes in general and for a set-indexed Brownian motion in particular. We present some applications.

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Cites work

• scientific article; zbMATH DE number 4216817 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• scientific article; zbMATH DE number 3366273 (Why is no real title available?)
• A characterization of the set-indexed fractional Brownian motion by increasing paths
• Different kinds of two-parameter martingales
• Multiparameter Processes
• Set-indexed Brownian motion on increasing paths
• Some classes of two-parameter martingales
• Stochastic integrals in the plane

Cited in

(3)

• Set-indexed Brownian motion on increasing paths
• Some classical-new results on the set-indexed Brownian motion
• Lévy's Brownian motion as a set-indexed process and a related central limit theorem

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