Stationary systems of Gaussian processes

DOI10.1214/10-AAP686MaRDI QIDQ614126zbMATH OpenOpenAlexFDO

Authors Zakhar Kabluchko

Publication date 27 December 2010

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0903.2738

zbMATH Keywords

countable systemfractional Brownian motionGaussian processindependent processesPoisson point processstationaritystationary increments

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random fields (60G60)

Abstract: We describe all countable particle systems on $mathbbR$ which have the following three properties: independence, Gaussianity and stationarity. More precisely, we consider particles on the real line starting at the points of a Poisson point process with intensity measure $mathfrakm$ and moving independently of each other according to the law of some Gaussian process $xi$. We classify all pairs $(mathfrakm,xi)$ generating a stationary particle system, obtaining three families of examples. In the first, trivial family, the measure $mathfrakm$ is arbitrary, whereas the process $xi$ is stationary. In the second family, the measure $mathfrakm$ is a multiple of the Lebesgue measure, and $xi$ is essentially a Gaussian stationary increment process with linear drift. In the third, most interesting family, the measure $mathfrakm$ has a density of the form $alpha{e}^{-lambdax}$, where $alpha>0$, $lambdainmathbbR$, whereas the process $xi$ is of the form $xi(t)=W(t)-lambdasigm{a}^2(t)/2+c$, where $W$ is a zero-mean Gaussian process with stationary increments, $sigm{a}^2(t)=operatornameVarW(t)$, and $cinmathbbR$.

Review text

A Poisson point process on \(\mathbb{R}\) with an intensity measure \(m\) is considered. To every point of the process \(U_i\) corresponds independently a Gaussian process (field) \(\xi_i(t)\) \((t\in \mathbb{R}^n,\) \({n\geq1)},\) having identical distribution for different \(i\). The system of processes \(V_i(t)=U_i+\xi_i(t)\) is investigated. This system is proved to be invariant relative to a shift (stationary) if and only if its representative \((m,\xi)\) belongs to one of three classes: (1) \(m\) is arbitrary and \(\xi\) is a stationary Gaussian process; (2) the Poisson process is homogeneous on the line, and \(\xi \) is a Gaussian process with zero mean and stationary increments \(W(t)\) plus some additive process; (3) the density of the measure \(m\) is equal to \(\alpha e^{-\lambda x}\) \((x\in \mathbb{R}, \,\alpha>0,\,\lambda\in \mathbb{R})\), and \(\xi(t)=W(t)-\lambda\sigma^2(t)/2+c\), where \(\sigma^2(t)\) is the variance of \(W(t)\), and \(c\in \mathbb{R}\).

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Cited in

(10)

• Anticipative direct transformations on the Poisson space
• The winding of stationary Gaussian processes
• Representations of \(\max\)-stable processes via exponential tilting
• Stationarity of multivariate particle systems
• A characterization of the normal distribution using stationary max-stable processes
• Invariance properties of random vectors and stochastic processes based on the zonoid concept
• On the continuity of Pickands constants
• Uniform tail approximation of homogenous functionals of Gaussian fields
• Stochastic integral representations and classification of sum- and max-infinitely divisible processes
• Cluster random fields and random-shift representations

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