On infinite series of independent Ornstein-Uhlenbeck processes

E. Csáki, M. Csörgo, Z. Y. Lin and P. Révész

Stochastic Processes and their Applications, 1991, vol. 39, issue 1, 25-44

Abstract: We establish moduli of continuity and large increment properties for stationary increment Gaussian processes in order to study the path behavior of infinite series of independent Ornstein-Uhlenbeck processes. The existence and continuity of the latter infinite series type Gaussian processes are proved via showing that under a global condition their partial sum processes converge uniformly over finite intervals with probability one.

Keywords: infinite; dimensional; Ornstein-Uhlenbeck; processes; stationary; increment; Gaussian; process; sample; path; properties (search for similar items in EconPapers)
Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(91)90029-C
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:39:y:1991:i:1:p:25-44

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().