相关论文: Measure-preserving transformations of Volterra Gau…

We derive a class of ergodic transformations of self-similar Gaussian processes that are Volterra, i.e. of type X_t = int^t_0 z_X(t,s)dW_s, t>0, where z_X is a deterministic kernel and W is a standard Brownian motion.

We study the regular conditional law of mixed Gaussian Volterra processes under the influence of model disturbances. More precisely, we study prediction of Gaussian Volterra processes driven by a Brownian motion in a case where the Brownian…

We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian motions. As an…

We introduce a new class of stochastic processes called fractional Wiener-Weierstrass bridges. They arise by applying the convolution from the construction of the classical, fractal Weierstrass functions to an underlying fractional Brownian…

This paper considers the class of stochastic processes $X$ which are Volterra convolutions of a martingale $M$. When $M$ is Brownian motion, $X$ is Gaussian, and the class includes fractional Brownian motion and other Gaussian processes…

Given a deterministically time-changed Brownian motion $Z$ starting from 1, whose time-change $V(t)$ satisfies $V(t) > t$ for all $t > 0$, we perform an explicit construction of a process $X$ which is Brownian motion in its own filtration…

We study Volterra processes $X_t = \int_0^t K(t,s) dW_s$, where $W$ is a standard Wiener process, and the kernel has the form $K(t,s) = a(s) \int_s^t b(u) c(u-s) du$. This form generalizes the Volterra kernel for fractional Brownian motion…

We consider a class of linear Volterra transforms of Brownian motion associated to a sequence of M\"untz Gaussian spaces and determine explicitly their kernels; some interesting links with M\"untz-Legendre polynomials are provided. This…

We compute the Wiener chaos decomposition of the signature for a class of Gaussian processes, which contains fractional Brownian motion (fBm) with Hurst parameter H in (1/4, 1). At level 0, our result yields an expression for the expected…

We introduce the notion of {\em covariance measure structure} for square integrable stochastic processes. We define Wiener integral, we develop a suitable formalism for stochastic calculus of variations and we make Gaussian assumptions only…

We find a representation of the integral of a Gauss-Markov process in the interval [0, t], in terms of Brownian motion. Moreover, some connections with first-passagetime problems are discussed, and some examples are reported.

We prove absolute continuity of Gaussian measures associated to complex Brownian bridges under certain gauge transformations. As an application we prove that the invariant measure for the periodic derivative nonlinear Schr\"odinger equation…

Fractional Wiener--Weierstrass bridges are a class of Gaussian processes that arise from replacing the trigonometric function in the construction of classical Weierstrass functions by a fractional Brownian bridge. We investigate the sample…

We construct the basis of a stochastic calculus for so-called Volterra processes, i.e., processes which are defined as the stochastic integral of a time-dependent kernel with respect to a standard Brownian motion. For these processes which…

Fractional Brownian motion is a self-affine, non-Markovian and translationally invariant generalization of Brownian motion, depending on the Hurst exponent $H$. Here we investigate fractional Brownian motion where both the starting and the…

In the L\'evy construction of Brownian motion, a Haar-derived basis of functions is used to form a finite-dimensional process $W^{N}$ and to define the Wiener process as the almost sure path-wise limit of $W^{N}$ when $N$ tends to infinity.…

We study local quasihelix and generalized quasihelix properties of several Gaussian Volterra processes with tempered, power-weighted, and logarithmic kernels, including tempered fractional Brownian motions and generalized fractional…

The paper is devoted to three-parametric self-similar Gaussian Volterra processes that generalize fractional Brownian motion. We study the asymptotic growth of such processes and the properties of long- and short-range dependence. Then we…

For a continuous function $f \in \mathcal{C}([0,1])$, define the Vervaat transform $V(f)(t):=f(\tau(f)+t \mod1)+f(1)1_{\{t+\tau(f) \geq 1\}}-f(\tau(f))$, where $\tau(f)$ corresponds to the first time at which the minimum of $f$ is attained.…

The aim of this work is to define and perform a study of local times of all Gaussian processes that have an integral representation over a real interval (that maybe infinite). Very rich, this class of Gaussian processes, contains Volterra…