A set-indexed Ornstein-Uhlenbeck process

Abstract : The purpose of this article is a set-indexed extension of the well-known Ornstein-Uhlenbeck process. The first part is devoted to a stationary definition of the random field and ends up with the proof of a complete characterization by its $L^2$-continuity, stationarity and set-indexed Markov properties. This specific Markov transition system allows to define a general \emph{set-indexed Ornstein-Uhlenbeck (SIOU) process} with any initial probability measure. Finally, in the multiparameter case, the SIOU process is proved to admit a natural integral representation.
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Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2012, 17 (39), pp.1-14. 〈10.1214/ECP.v17-1903〉
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https://hal-ecp.archives-ouvertes.fr/hal-00734421
Contributeur : Erick Herbin <>
Soumis le : vendredi 21 septembre 2012 - 17:23:30
Dernière modification le : jeudi 5 avril 2018 - 12:30:21

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Paul Balança, Erick Herbin. A set-indexed Ornstein-Uhlenbeck process. Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2012, 17 (39), pp.1-14. 〈10.1214/ECP.v17-1903〉. 〈hal-00734421〉

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