Realizations and Factorizations of Positive Definite Kernels

DOI10.1007/S10959-018-0868-3arXiv1711.03614WikidataQ114225102 ScholiaQ114225102MaRDI QIDQ6293752FDOQ6293752

Authors: Palle Jorgensen, Feng Tian 

Publication date: 9 November 2017

Abstract: Given a fixed sigma-finite measure space $left(X,mathscrB,uight)$, we shall study an associated family of positive definite kernels $K$. Their factorizations will be studied with view to their role as covariance kernels of a variety of stochastic processes. In the interesting cases, the given measure $u$ is infinite, but sigma-finite. We introduce such positive definite kernels $Kleft(cdot,cdotight)$ with the two variables from the subset of the sigma-algebra $mathscrB$, sets having finite $u$ measure. Our setting and results are motivated by applications. The latter are covered in the second half of the paper. We first make precise the notions of realizations and factorizations for $K$; and we give necessary and sufficient conditions for $K$ to have realizations and factorizations in $L^{2}left(uight)$. Tools in the proofs rely on probability theory and on spectral theory for unbounded operators in Hilbert space. Applications discussed here include the study of reversible Markov processes, and realizations of Gaussian fields, and their Ito-integrals.

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) General harmonic expansions, frames (42C15) Numerical methods for integral transforms (65R10) Discrete potential theory (31C20) Algebras of unbounded operators; partial algebras of operators (47L60)

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