Electronic Communications in Probability

A note on ergodic transformations of self-similar Volterra Gaussian processes

Céline Jost

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We derive a class of ergodic transformation of self-similar Gaussian processes that are Volterra, i.e. of type $X_t = \int^t_0 z_X(t,s)dW_s$, $t \in [0,\infty)$, where $z_X$ is a deterministic kernel and $W$ is a standard Brownian motion.

Article information

Electron. Commun. Probab., Volume 12 (2007), paper no. 25, 259-266.

Accepted: 25 August 2007
First available in Project Euclid: 6 June 2016

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60G15: Gaussian processes
Secondary: 60G18: Self-similar processes 37A25: Ergodicity, mixing, rates of mixing

Volterra Gaussian process Self-similar process Ergodic transformation Fractional Brownian motion

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Jost, Céline. A note on ergodic transformations of self-similar Volterra Gaussian processes. Electron. Commun. Probab. 12 (2007), paper no. 25, 259--266. doi:10.1214/ECP.v12-1298. https://projecteuclid.org/euclid.ecp/1465224968

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