A note on Lévy’s Brownian motion II

Abstract

The purpose of this paper is to discuss some particular random fields derived from Lévy’s Brownian motion to find its characteristic properties of the joint probability distributions. In [9], special attention was paid to the behaviour of the Brownian motion when the parameter runs along a curve in the parameter space, and with this property the conditional expectation has been obtained when the values are known on the curve.The present paper deals with the variation of the Brownian motion in the normal direction to a given curve, in contrast to the case in [9], where we discussed the properties along the curve. Actually we shall find, in this paper, formulae of the variation with the help of the normal derivative of Brownian motion and observe its singularity. We then discuss partial derivatives of Rd-parameter Lévy’s Brownian motion and make attempt to restrict the parameter to a hypersurface so that we obtain new random fields on that hypersurface. By comparing such derivatives with those of other Gaussian random fields, we can see that the singularity of the new random fields seems to be an interesting characteristic of Lévy’s Brownian motion. Further, we hope that our approach may be thought of as a first step to the variational calculus for Gaussian random fields.