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

Authors: Daniel Alpay, Haim Attia, David Levanony 

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

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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 (21)

• 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
• White and colored Gaussian noises as limits of sums of random dilations and translations of a single function
• 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
• A class of processes defined in the white noise space through generalized fractional operators
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• Stochastic Processes Induced by Singular Operators
• A universal envelope for Gaussian processes and their kernels
• Generalized Fock spaces and the Stirling numbers
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• Spectral theory for Gaussian processes: reproducing kernels, boundaries, and \(\mathrm{L}^{2}\)-wavelet generators with fractional scales
• Generalized white noise analysis and topological algebras
• Differentiating σ-fields for Gaussian and shifted Gaussian processes

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