Affiliation:
1. Equipe de modélisation, stochastique et statistique, Bât 425, Université de Paris Sud, Orsay Cedex 91 405, France
Abstract
In this paper, we propose a generalization of continuous-time processed
defined by
Xt=∫f(t−s)dWs,
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.
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Cited by
3 articles.
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