Multiple Wick Product Chaos Processes

Michael B. Marcus () and Jay Rosen ()
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Michael B. Marcus: The City College of CUNY
Jay Rosen: College of Staten Island, CUNY

Journal of Theoretical Probability, 1999, vol. 12, issue 2, 489-522

Abstract: Abstract Let u(x) x∈R q be a symmetric nonnegative definite function which is bounded outside of all neighborhoods of zero but which may have u(0)=∞. Let p x, δ(·) be the density of an R q valued canonical normal random variable with mean x and variance δ and let {G x, δ; (x, δ)∈R q ×[0,1 ]} be the mean zero Gaussian process with covariance $$EG_{x,\delta } G_{y,\delta } = \iint {u(s - t)p_{x,\delta } (s)}{ }p_{y,\delta } (t)ds{ }dt$$ A finite positive measure μ on R q is said to be in $$G^r $$ with respect to u, if $$\iint {\left( {u\left( {x,y} \right)} \right)^r }d\mu \left( x \right){\text{ }}d\mu \left( y \right) 0} {S_{\bar m,\varepsilon } } $$ One of the main results of this paper is: Theorem A. If $$\mathfrak{C}_{r,1,0,\mu ,\delta }^{dec} (x_1 , \ldots ,x_r )$$ is continuous on (R q ) r for all $$r \leqslant \left| {\bar m} \right|$$ then $$\mathfrak{C}_{\bar m,1,0,\mu } (\bar x)$$ is continuous on $$S_{\bar m, \ne } $$ . When u satisfies some regularity conditions simple sufficient conditions are obtained for the continuity of $$\mathfrak{C}_{r,1,0,\mu }^{dec} (x_1 , \ldots ,x_r )$$ on (R q ) r . Also several variants of (i) are considered and related to different types of decoupled processes. These results have applications in the study of intersections of Lévy process and continuous additive functionals of several Lévy processes.

Keywords: Gaussian chaos processes; Levy processes; Banach space (search for similar items in EconPapers)
Date: 1999
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DOI: 10.1023/A:1021686313259

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