On the characteristics of a class of Gaussian processes within the white noise space setting

DOI10.1016/J.SPA.2010.03.004zbMATH Open1197.60037arXiv0909.4267OpenAlexW2023697088MaRDI QIDQ981013FDOQ981013

David Levanony, Haim Attia, Daniel Alpay

Publication date: 8 July 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Using the white noise space framework, we define a class of stochastic processes which include as a particular case the fractional Brownian motion and its derivative. The covariance functions of these processes are of a special form, studied by Schoenberg, von Neumann and Krein.

Full work available at URL: https://arxiv.org/abs/0909.4267

zbMATH Keywords

fractional Brownian motionWick productwhite noise space

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) White noise theory (60H40) Linear operators in reproducing-kernel Hilbert spaces (including de Branges, de Branges-Rovnyak, and other structured spaces) (47B32)

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Cited In (17)

• White noise space analysis and multiplicative change of measures
• On free stochastic processes and their derivatives
• Distribution processes with stationary fractional increments
• On the Schoenberg transformations in data analysis: theory and illustrations
• On the equivalence of probability spaces
• A class of Gaussian processes with fractional spectral measures
• Spectral Theory for Gaussian Processes: Reproducing Kernels, Boundaries, and L²-Wavelet Generators with Fractional Scales
• Generalized Grassmann algebras and applications to stochastic processes
• Transfer operators and conditional expectations: the non-commutative case, the case of mu-Brownian motions and white noise space setting
• mu-Brownian motion, dualities, diffusions, transforms, and reproducing kernel Hilbert spaces
• Non-commutative stochastic distributions and applications to linear systems theory
• On a class of quaternionic positive definite functions and their derivatives
• Stochastic Processes Induced by Singular Operators
• A universal envelope for Gaussian processes and their kernels
• Generalized Fock spaces and the Stirling numbers
• Distribution spaces and a new construction of stochastic processes associated with the Grassmann algebra
• Generalized white noise analysis and topological algebras

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