Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

On the infinite divisibility of squared Gaussian processes

Auteur(s):

Code(s) de Classification MSC:

Résumé: We show that fractional Brownian motions with index in (0,1] satisfy a remarkable property : their squares are infinitely divisible. We also prove that a large class of Gaussian processes are sharing this property. This property then allows the construction of two-parameters families of processes having the additivity property of the squared Bessel processes.

Mots Clés: Gaussian processes ; infinite divisibility ; Markov processes

Date: 2002-09-24

Prépublication numéro: PMA-756

Pdf file : PMA-756.pdf