Kernel Generated Two-Time Parameter Gaussian Processes and Some of Their Path Properties

Csörgő, Miklós ; Lin, Zheng-Yan ; Shao, Qi-Man

Canadian journal of mathematics, Tome 46 (1994) no. 1, pp. 81-119

Résumé

We study path properties of kernel generated two-time parameter, not necessarily stationary, Gaussian processes. We establish large deviation results for some increments of these processes and use these results to prove some of their moduli of continuity and other path properties.

Détail

DOI : 10.4153/CJM-1994-003-x

Mots-clés : 60G15, 60G17, 60F10, 60F15, 60H05, two-time parameter Gaussian processes, large deviations, path properties, kernel function, Wiener, Kiefer and Ornstein-Uhlenbeck processes

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