학술논문
Asymptotic expansions for functions of the increments of certain Gaussian processes
Document Type
redif-article
Author
Source
Elsevier, Stochastic Processes and their Applications. 120(2):195-222
Subject
Language
English
Abstract
Let G={G(x),x>=0} be a mean zero Gaussian process with stationary increments and set [sigma]2(x-y)=E(G(x)-G(y))2. Let f be a function with Ef2([eta]) =1, and satisfies some additional regularity conditions, in L2. Here Hj is the jth Hermite polynomial. Also :(G')j:(I[a,b]) is a jth order Wick power Gaussian chaos constructed from the Gaussian field G'(g), with covariance where .