ON INFINITE SERIES OF INDEPENDENT ORNSTEIN-UHLENBECK PROCESSES

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:39

Article

CSAKI, E ; CSORGO, M ; LIN, ZY ; REVESZ, P

关键词: INFINITE DIMENSIONAL ORNSTEIN-UHLENBECK PROCESSES;    STATIONARY INCREMENT GAUSSIAN PROCESS;    SAMPLE PATH PROPERTIES;   

DOI  :  10.1016/0304-4149(91)90029-C

来源: Elsevier

【 摘 要 】

We establish moduli of continuity and large increment properties for stationary increment Gaussian processes in order to study the path behavior of infinite series of independent Ornstein-Uhlenbeck processes. The existence and continuity of the latter infinite series type Gaussian processes are proved via showing that under a global condition their partial sum processes converge uniformly over finite intervals with probability one.

【 授权许可】

Free