Affiliation:
1. MTA-SZTE Analysis and Stochastics Research Group Bolyai Institute , University of Szeged Aradi vrtank tere , 1, H6720 , Szeged , Hungary
Abstract
Abstract
We give some examples of random fields that can be represented as space-domain scaled stationary Ornstein-Uhlenbeck fields defined on the plane. Namely, we study a tied-down Wiener bridge, tied-down scaled Wiener bridges, a Kiefer process and so called (F, G)-Wiener bridges.
Reference13 articles.
1. Baran, S.—Pap, G.—van Zuijlen, M. C. A.: Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets, Comput. Math. Appl. 45 (2003), 563–579.10.1016/S0898-1221(03)00017-8
2. Barczy, M.—Iglói, E.}: Karhunen-Loéve expansions of alpha-Wiener bridges, Cent. Eur. J. Math. 9 (2011), 65–84.10.2478/s11533-010-0090-8
3. Barczy, M.—Kern, P.: Gauss-Markov processes as space-time scaled stationary Ornstein-Uhlenbeck processes, (2014), available at https://arxiv.org/abs/1409.7253v2.
4. Brennan, M. J.—Schwartz, E. S.: Arbitrage in stock index futures, Journal of Business 63 (1990), 7–31.10.1086/296491
5. Csörgő M.—Révész P.: Strong Approximations in Probability and Statistics, Academic Press, New York, 1981.