A characterization of the infinitely divisible squared Gaussian processes
Probability
2007-05-23 v3
Abstract
We show that, up to multiplication by constants, a Gaussian process has an infinitely divisible square if and only if its covariance is the Green function of a transient Markov process.
Cite
@article{arxiv.math/0504166,
title = {A characterization of the infinitely divisible squared Gaussian processes},
author = {Nathalie Eisenbaum and Haya Kaspi},
journal= {arXiv preprint arXiv:math/0504166},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/009117905000000684 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)