A characterization of the infinitely divisible squared Gaussian processes

Nathalie Eisenbaum; Haya Kaspi

doi:10.1214/009117905000000684

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March 2006 A characterization of the infinitely divisible squared Gaussian processes

Nathalie Eisenbaum, Haya Kaspi

Ann. Probab. 34(2): 728-742 (March 2006). DOI: 10.1214/009117905000000684

Abstract

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.

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Nathalie Eisenbaum. Haya Kaspi. "A characterization of the infinitely divisible squared Gaussian processes." Ann. Probab. 34 (2) 728 - 742, March 2006. https://doi.org/10.1214/009117905000000684