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Kernel Generated Two-Time Parameter Gaussian Processes and Some of Their Path Properties

Published online by Cambridge University Press:  20 November 2018

Miklós Csörgő ,
Zheng-Yan Lin  and
Qi-Man Shao
Miklós Csörgő
Affiliation:
Department of Mathematics and Statistics Carleton University Ottawa, Ontario K1S 5B6
Zheng-Yan Lin
Affiliation:
Department of Mathematics Hangzhou University Hangzhou, Zhejiang People's Republic of China
Qi-Man Shao
Affiliation:
Department of Mathematics Hangzhou University Hangzhou, Zhejiang People's Republic of China Department of Mathematics National University of Singapore Singapore 051J
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Abstract

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We study path properties of kernel generated two-time parameter, not necessarily stationary, Gaussian processes. We establish large deviation results for some increments of these processes and use these results to prove some of their moduli of continuity and other path properties.

Keywords

60G1560G1760F1060F1560H05two-time parameter Gaussian processeslarge deviationspath propertieskernel functionWienerKiefer and Ornstein-Uhlenbeck processes
Type
Research Article
Information
Canadian Journal of Mathematics , Volume 46 , Issue 1 , 01 February 1994 , pp. 81 - 119
Copyright
Copyright © Canadian Mathematical Society 1994

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