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 Electronic Journal of Probability > Vol. 14 (2009) > Paper 42 open journal systems 


Expansions for Gaussian Processes and Parseval Frames

Harald Luschgy, University of Trier
Gilles Pagès, Université Paris 6


Abstract
We derive a precise link between series expansions of Gaussian random vectors in a Banach space and Parseval frames in their reproducing kernel Hilbert space. The results are applied to pathwise continuous Gaussian processes and a new optimal expansion for fractional Ornstein-Uhlenbeck processes is derived.


Full text: PDF

Pages: 1198-1221

Published on: June 1, 2009


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Electronic Journal of Probability. ISSN: 1083-6489