MULTISCALE ANALYSIS OF GAUSSIAN MARKOVIAN PROCESSES OF ORDER P ON (0,1)

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:47

Article

BENASSI, A ; JAFFARD, S ; ROUX, D

关键词: GAUSSIAN PROCESS;    MARKOV GERM PROPERTY;    WAVELETS;    MODULUS OF CONTINUITY;   

DOI  :  10.1016/0304-4149(93)90018-Y

来源: Elsevier

【 摘 要 】

We perform a multiscale analysis of Gaussian Markovian processes of order p on (0, 1). Namely, we construct a wavelet basis orthonormal for the scalar product given by the symmetric Dirichlet form of the process. As an application, we exhibit the connexion between the multiscale analysis concept and the Markov property of order p, and we prove the law of iterated logarithm and the uniform modulus law for the (p - 1)th derivative of this process.

【 授权许可】

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