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On Moduli of Continuity for Gaussian and l2-Norm Squared Processes Generated by Ornstein-Uhlenbeck Processes

Published online by Cambridge University Press:  20 November 2018

Miklós Csörgö  and
Zhengyan Lin
Miklós Csörgö
Affiliation:
Carleton University, Ottawa, Ontario
Zhengyan Lin
Affiliation:
Hangzhou University, People's Republic of China
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Let be a sequence of independent Ornstein-Uhlenbeck processes with coefficients lk and ƛk,i.e., Xk(.)is a Gaussian process with EXk(t) =0 and

The process Y(.)was first studied by Dawson (1972) as the stationary solution of the infinite array of stochastic differential equations

where are independent Wiener processes (cf. also [6],[19],and [1]).

Type
Research Article
Information
Canadian Journal of Mathematics , Volume 42 , Issue 1 , 01 February 1990 , pp. 141 - 158
Copyright
Copyright © Canadian Mathematical Society 1990

References

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