On a flow of transformations of a Wiener space
Probability
2011-01-27 v1
Abstract
In this paper, we define, via Fourier transform, an ergodic flow of transformations of a Wiener space which preserves the law of the Ornstein-Uhlenbeck process and which interpolates the iterations of a transformation previously defined by Jeulin and Yor. Then, we give a more explicit expression for this flow, and we construct from it a continuous gaussian process indexed by R^2, such that all its restriction obtained by fixing the first coordinate are Ornstein-Uhlenbeck processes.
Keywords
Cite
@article{arxiv.1101.4974,
title = {On a flow of transformations of a Wiener space},
author = {J. Najnudel and D. Stroock and M. Yor},
journal= {arXiv preprint arXiv:1101.4974},
year = {2011}
}