Decompositions of stochastic processes based on irreducible group representations

DOI10.1137/S0040585X97984164zbMATH Open1229.60039arXivmath/0509569OpenAlexW4313455316MaRDI QIDQ3580087FDOQ3580087

Authors: Giovanni Peccati, Jean-Renaud Pycke 

Publication date: 11 August 2010

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Abstract: Let G be a topological compact group acting on some space Y. We study a decomposition of Y-indexed stochastic processes, based on the orthogonality relations between the characters of the irreducible representations of G. In the particular case of a Gaussian process with a G-invariant law, such a decomposition gives a very general explanation of a classic identity in law - between quadratic functionals of a Brownian bridge - due to Watson (1961). Several relations with Karhunen-Lo`{e}ve expansions are discussed, and some applications and extensions are given - in particular related to Gaussian processes indexed by a torus.

Full work available at URL: https://arxiv.org/abs/math/0509569

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zbMATH Keywords

stochastic processesirreducible representationsquadratic functionalsflat torusdouble Wiener-Itô integralsKarhunen-Loève expansionstopological compact groupsWatson's duplication identity

Mathematics Subject Classification ID

Gaussian processes (60G15) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) General theory of stochastic processes (60G07)

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