DC MetaData pour: On the infinite divisibility of squared Gaussian processes


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):

N. EISENBAUM

Code(s) de Classification MSC:

60E07 Infinitely divisible distributions; stable distributions
60G15 Gaussian processes
60J25 Markov processes with continuous parameter
60J55 Local time and additive functionals

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