The Annals of Probability

A characterization of the infinitely divisible squared Gaussian processes

Nathalie Eisenbaum and Haya Kaspi

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We show that, up to multiplication by constants, a Gaussian process has an infinitely divisible square if and only if its covariance is the Green function of a transient Markov process.

Article information

Ann. Probab., Volume 34, Number 2 (2006), 728-742.

First available in Project Euclid: 9 May 2006

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Zentralblatt MATH identifier

Primary: 60E07: Infinitely divisible distributions; stable distributions 60G15: Gaussian processes 60J25: Continuous-time Markov processes on general state spaces 60J55: Local time and additive functionals

Gaussian processes infinite divisibility Markov processes local time


Eisenbaum, Nathalie; Kaspi, Haya. A characterization of the infinitely divisible squared Gaussian processes. Ann. Probab. 34 (2006), no. 2, 728--742. doi:10.1214/009117905000000684.

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