Representation of self-similar Gaussian processes

Adil Yazigi

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arXiv · 1401.3236

Representation of self-similar Gaussian processes

Adil Yazigi

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Abstract

We develop the canonical Volterra representation for a self-similar Gaussian process by using the Lamperti transformation of the corresponding stationary Gaussian process, where this latter one admits a canonical integral representation under the assumption of pure non-determinism. We apply the representation obtained for the self-similar Gaussian process to derive an expression for Gaussian processes that are equivalent in law to the self-similar Gaussian process in question.

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Adil Yazigi. 2014-01-14. Representation of self-similar Gaussian processes. https://arxiv.org/abs/1401.3236

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