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

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Peccati G., Yor M.

Banach Center Publications

2006

tom 72

nr 1

235-250

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).

Ograniczanie wyników

1 Banach Center Publications

1 Peccati G.

1 Yor M.

1 2006

Wyniki wyszukiwania

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