Linear distribution processes

L. Bel, G. Oppenheim, L. Robbiano and M. C. Viano

International Journal of Stochastic Analysis, 1998, vol. 11, 1-16

Abstract:

In this paper, we propose a generalization of continuous-time processed defined by X t = ∫ f ( t − s ) d W s , to the case of f being a distribution. We give a necessary and sufficient condition for f , such that the obtained process is a second order distribution process. We study the moments and the regularity of these processes. In addition, we investigate a generalization to processes with stationary increments.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:823585

DOI: 10.1155/S1048953398000045

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