The Wiener integral with respect to second order processes with stationary increments |
| |
Authors: | Maria Jolis |
| |
Institution: | Departament de Matemàtiques, Universitat Autònoma de Barcelona, 08193-Bellaterra, Barcelona, Spain |
| |
Abstract: | We prove that for any second order stochastic process X with stationary increments with continuous paths and continuous variance function, there exists a tempered measure μ (for which we give an explicit expression) related with the domain of the Wiener integral with respect to X as follows: the space of tempered distributions f such that the Fourier transform of f is square integrable with respect to μ is always a dense subset of the domain of the Wiener integral. Moreover, we provide sufficient conditions on μ in order that the domain of the integral is exactly this space of distributions. We apply our results to the fractional Brownian motion. In particular, it is proved that the domain of the Wiener integral with respect to the fractional Brownian motion with Hurst parameter H>1/2 contains distributions that are not given by locally integrable functions, this fact was suggested by Pipiras and Taqqu (2000) in 5]. We have also considered the example of the process given by Ornstein and Uhlenbeck as a model for the position of a Brownian particle. |
| |
Keywords: | Random distributions Second order process with stationary increments Wiener integral |
本文献已被 ScienceDirect 等数据库收录! |
|