Local times for stochastic processes which are subordinate to Gaussian processes |
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Authors: | Simeon M Berman |
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Institution: | New York University, New York, New York 10012 USA |
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Abstract: | Let X and Y be random vectors of the same dimension such that Y has a normal distribution with mean vector O and covariance matrix R. Let g(x), x≥0, be a bounded nonincreasing function. X is said to be g-subordinate to Y if |Eeiu′X| ≤ g(u′Ru) for all real vectors u of the same dimension as X. This is used to define the g-subordination of a real stochastic process X(t), 0 ≤ t ≤ 1, to a Gaussian process Y(t), 0 ≤ t ≤ 1. It is shown that the basic local time properties of a given Gaussian process are shared by all the processes that age g-subordinate to it. It is shown in particular that certain random series, including some random Fourier series, are g-subordinate to Gaussian processes, and so have their local time properties. |
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Keywords: | 60J55 60E05 60G15 Local times subordinate process Gaussian process local nondeterminism random series |
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