On infinite series of independent Ornstein-Uhlenbeck processes

E. Csáki, M. Csörgo, Z. Y. Lin, P. Révész

Research output: Contribution to journalArticle

28 Citations (Scopus)

Abstract

We establish moduli of continuity and large increment properties for stationary increment Gaussian processes in order to study the path behavior of infinite series of independent Ornstein-Uhlenbeck processes. The existence and continuity of the latter infinite series type Gaussian processes are proved via showing that under a global condition their partial sum processes converge uniformly over finite intervals with probability one.

Original languageEnglish
Pages (from-to)25-44
Number of pages20
JournalStochastic Processes and their Applications
Volume39
Issue number1
DOIs
Publication statusPublished - Oct 1991

Keywords

  • infinite dimensional Ornstein-Uhlenbeck processes
  • sample path properties
  • stationary increment Gaussian process

ASJC Scopus subject areas

  • Statistics and Probability
  • Modelling and Simulation
  • Applied Mathematics

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