Measure-preserving transformations of Volterra Gaussian processes and related bridges
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Publication:6478698
arXivmath/0701888MaRDI QIDQ6478698FDOQ6478698
Authors: Céline Jost 
Publication date: 30 January 2007
Abstract: We consider Volterra Gaussian processes on [0,T], where T>0 is a fixed time horizon. These are processes of type X_t=int^t_0 z_X(t,s)dW_s, tin[0,T], where z_X is a square-integrable kernel, and W is a standard Brownian motion. An example is fractional Brownian motion. By using classical techniques from operator theory, we derive measure-preserving transformations of X, and their inherently related bridges of X. As a closely connected result, we obtain a Fourier-Laguerre series expansion for the first Wiener chaos of a Gaussian martingale over [0,infty).
Gaussian processes (60G15) Dynamical aspects of measure-preserving transformations (37A05) Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10) Martingales with continuous parameter (60G44)
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