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arXiv · 1101.4974

On a flow of transformations of a Wiener space

J. Najnudel·D. Stroock·M. Yor
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Abstract

In this paper, we define, via Fourier transform, an ergodic flow of transformations of a Wiener space which preserves the law of the Ornstein-Uhlenbeck process and which interpolates the iterations of a transformation previously defined by Jeulin and Yor. Then, we give a more explicit expression for this flow, and we construct from it a continuous gaussian process indexed by R^2, such that all its restriction obtained by fixing the first coordinate are Ornstein-Uhlenbeck processes.

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J. Najnudel, D. Stroock, M. Yor. 2011-01-25. On a flow of transformations of a Wiener space. https://arxiv.org/abs/1101.4974

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