On representations of stochastic processes by Radon measures on D(0,1)

We provide a necessary and sufficient condition for a stochastic process X = {Xt : t ∈ [0, 1]}, taking values in a real Banach space B, for the existence of a probability Radon measure on the space D((0, 1), B) such that the process {et : t ∈ [0, 1]} consisting of evaluationfunctionals is distribute...

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Veröffentlicht in:Acta et commentationes Universitatis Tartuensis de mathematica 2008-12, Vol.12, p.31-43
Hauptverfasser: Grala-Michalak, Jolanta, Michalak, Artur
Format: Artikel
Sprache:eng
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Zusammenfassung:We provide a necessary and sufficient condition for a stochastic process X = {Xt : t ∈ [0, 1]}, taking values in a real Banach space B, for the existence of a probability Radon measure on the space D((0, 1), B) such that the process {et : t ∈ [0, 1]} consisting of evaluationfunctionals is distributed as X. The condition may be easy verified for Levy processes.
ISSN:1406-2283
2228-4699
DOI:10.12697/ACUTM.2008.12.03