"Identities in law between quadratic functionals of bivariate Gaussian processes, through Fubini theorems and symmetric projections" - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year : 2005

"Identities in law between quadratic functionals of bivariate Gaussian processes, through Fubini theorems and symmetric projections"

Abstract

We present three new identities in law for quadratic functionals of conditioned bivariate Gaussian processes. In particular, our results provide a two-parameter generalization of a celebrated identity in law, involving the path variance of a Brownian bridge, due to Watson (1961). The proof is based on ideas from a recent note by J. R. Pycke (2005) and on the stochastic Fubini theorem for general Gaussian measures proved in Deheuvels et al. (2004).
Fichier principal
Vignette du fichier
PecYor2005.pdf (184.27 Ko) Télécharger le fichier
Loading...

Dates and versions

hal-00004092 , version 1 (28-01-2005)

Identifiers

Cite

Giovanni Peccati, Marc Yor. "Identities in law between quadratic functionals of bivariate Gaussian processes, through Fubini theorems and symmetric projections". 2005. ⟨hal-00004092⟩
131 View
136 Download

Altmetric

Share

Gmail Facebook X LinkedIn More