Gaussian processes with Volterra kernels

DOI10.1007/978-3-031-17820-7_13arXiv2001.03405OpenAlexW3000540709MaRDI QIDQ6153216FDOQ6153216

Authors: Yuliya S. Mishura, G. M. Shevchenko, S. V. Shklyar 

Publication date: 16 March 2024

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

Abstract: We study Volterra processes $X_t=in{t}_0^{t}K(t,s)d{W}_s$, where $W$ is a standard Wiener process, and the kernel has the form $K(t,s)=a(s)in{t}_s^{t}b(u)c(u-s)du$. This form generalizes the Volterra kernel for fractional Brownian motion (fBm) with Hurst index $H>1/2$. We establish smoothness properties of $X$, including continuity and Holder property. It happens that its Holder smoothness is close to well-known Holder smoothness of fBm but is a bit worse. We give a comparison with fBm for any smoothness theorem. Then we investigate the problem of inverse representation of $W$ via $X$ in the case where $cin{L}^1[0,T]$ creates a Sonine pair, i.e. there exists $hin{L}^1[0,T]$ such that $c\ast h=1$. It is a natural extension of the respective property of fBm that generates the same filtration with the underlying Wiener process. Since the inverse representation of the Gaussian processes under consideration are based on the properties of Sonine pairs, we provide several examples of Sonine pairs, both well-known and new. Key words: Gaussian process, Volterra process, Sonine pair, continuity, Holder property, inverse representation.

Full work available at URL: https://arxiv.org/abs/2001.03405

Recommendations

• scientific article; zbMATH DE number 3487529
• scientific article; zbMATH DE number 3080938
• scientific article; zbMATH DE number 3407754
• Eine Bemerkung zum Satz von Vitali über Konvergenz von Funktionenfolgen: Dem stets hilftsbereiten Herrn Kollegen H. L. Schmid, gewidmet
• scientific article; zbMATH DE number 1839786
• Holomorphic mappings of complex manifolds
• scientific article; zbMATH DE number 5593209
• On \(\varepsilon\)-representations
• scientific article; zbMATH DE number 3148394

zbMATH Keywords

Gaussian processcontinuityinverse representationVolterra processHölder propertySonine pair

Mathematics Subject Classification ID

Gaussian processes (60G15)

Cites Work

• Stochastic calculus for fractional Brownian motion and related processes.
• Analysis.
• Title not available (Why is that?)
• Stochastic calculus with respect to Gaussian processes
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• General fractional calculus, evolution equations, and renewal processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Fractional Brownian motion. Approximations and projections
• Replication of Wiener-transformable stochastic processes with application to financial markets with memory

Cited In (4)

• On the Gaussian Volterra processes with power-type kernels
• Gaussian Volterra processes as models of electricity markets
• Combinatorial approach to the calculation of projection coefficients for the simplest Gaussian-Volterra process
• A class of processes defined in the white noise space through generalized fractional operators

This page was built for publication: Gaussian processes with Volterra kernels

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6153216)