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

• Autorzy: Giovanni Peccati , Marc Yor
• Języki publikacji: EN

Abstrakty

EN

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).

Kategorie tematyczne

• 60E10: Characteristic functions; other transforms

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2006
• Tom: 72
• Numer: 1
• Strony: 235-250

Daty

wydano

2006

Twórcy

autor

Giovanni Peccati

• Laboratoire de Statistique Théorique et Appliquée, Université Paris VI, 175, rue du Chevaleret, 75013 Paris, France

autor

Marc Yor

• Laboratoire de Probabilités et Modèles Aléatoires, Universités Paris VI and Paris VII, Paris, France
• Institut Universitaire de France

Identyfikatory

DOI

10.4064/bc72-0-15