The Annals of Probability

Sample Functions of the $N$-Parameter Wiener Process

Abstract

Let $W^{(N)}$ denote the $N$-parameter Wiener process, that is a real-valued Gaussian process with zero means and covariance $\Pi^N_{i=1} (s_i \wedge t_i)$ where $s = \langle s_i\rangle, t = \langle t_i\rangle, s_i \geqq 0, t_i \geqq 0, i = 1, 2, \cdots N$. Then $W^{(N,d)}$ is to be the process with values in $R^d$ determined by making each component an $N$-parameter Wiener process, the components being independent. Our concern is with continuity and recurrence properties of the sample functions. In particular we give integral tests for upper functions which reduce in the case $N = d = 1$ to the integral tests of Kolmogorov, and of Chung-Erdos-Sirao. We formulate and prove precise statements of the fact that $W^{(N,d)}$ is interval recurrent (point recurrent) if and only if $d \leqq 2N (d < 2N)$.

Article information

Source
Ann. Probab. Volume 1, Number 1 (1973), 138-163.

Dates
First available in Project Euclid: 19 April 2007

https://projecteuclid.org/euclid.aop/1176997030

Digital Object Identifier
doi:10.1214/aop/1176997030

Mathematical Reviews number (MathSciNet)
MR346925

Zentralblatt MATH identifier
0284.60036

JSTOR
Orey, Steven; Pruitt, William E. Sample Functions of the $N$-Parameter Wiener Process. Ann. Probab. 1 (1973), no. 1, 138--163. doi:10.1214/aop/1176997030. https://projecteuclid.org/euclid.aop/1176997030