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

stationarityGaussian processfractional Brownian motionPoisson point processstationary incrementscountable systemindependent processes

Mathematics Subject Classification ID

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

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 $cinmathbbR$.

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Cited in

(9)

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

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