Stochastic Processes Induced by Singular Operators

DOI10.1080/01630563.2012.682132MaRDI QIDQ2919975zbMATH OpenOpenAlexFDO

Authors Palle Jorgensen, Daniel Alpay

Publication date 23 October 2012

Published in Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1109.5273

zbMATH Keywords

Gaussian processessingular measuresunbounded operators

Mathematics Subject Classification ID

Gaussian processes (60G15) Generalized stochastic processes (60G20) White noise theory (60H40)

Abstract: In this paper we study a general family of multivariable Gaussian stochastic processes. Each process is prescribed by a fixed Borel measure $sigma$ on $mathbb{R}^n$. The case when $sigma$ is assumed absolutely continuous with respect to Lebesgue measure was studied earlier in the literature, when $n=1$. Our focus here is on showing how different equivalence classes (defined from relative absolute continuity for pairs of measures) translate into concrete spectral decompositions of the corresponding stochastic processes under study. The measures $sigma$ we consider are typically purely singular. Our proofs rely on the theory of (singular) unbounded operators in Hilbert space, and their spectral theory.

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