On a flow of transformations of a Wiener space

DOI10.1007/978-3-642-29982-7_5zbMATH Open1338.60176arXiv1101.4974OpenAlexW1891533022MaRDI QIDQ5261210FDOQ5261210

Authors: Joseph Najnudel, Daniel W. Stroock, Marc Yor 

Publication date: 2 July 2015

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Abstract: In this paper, we define, via Fourier transform, an ergodic flow of transformations of a Wiener space which preserves the law of the Ornstein-Uhlenbeck process and which interpolates the iterations of a transformation previously defined by Jeulin and Yor. Then, we give a more explicit expression for this flow, and we construct from it a continuous gaussian process indexed by R^2, such that all its restriction obtained by fixing the first coordinate are Ornstein-Uhlenbeck processes.

Full work available at URL: https://arxiv.org/abs/1101.4974

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zbMATH Keywords

Fourier transformGaussian processOrnstein-Uhlenbeck processesWiener spaceflow of transformations

Mathematics Subject Classification ID

Gaussian processes (60G15) Diffusion processes (60J60) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Stochastic analysis (60H99)

Cited In (4)

• Title not available (Why is that?)
• Nonlinear transformations on the Wiener space
• The Wiener transform on the Besicovitch spaces
• Title not available (Why is that?)

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