Journal article
On free stochastic processes and their derivatives
Stochastic processes and their applications, Vol.124(10), pp.3392-3411
10/2014
DOI: 10.1016/j.spa.2014.05.007
Abstract
We study a family of free stochastic processes whose covariance kernels K may be derived as a transform of a tempered measure σ. These processes arise, for example, in consideration of non-commutative analysis involving free probability. Hence our use of semi-circle distributions, as opposed to Gaussians. In this setting we find an orthonormal basis in the corresponding non-commutative L2 of sample-space. We define a stochastic integral for our family of free processes.
Details
- Title: Subtitle
- On free stochastic processes and their derivatives
- Creators
- Daniel Alpay - Department of Mathematics, Ben Gurion University of the Negev, P.O.B. 653, Be’er Sheva 84105, IsraelPalle Jorgensen - Department of Mathematics, 14 MLH The University of Iowa, Iowa City, IA 52242-1419, USAGuy Salomon - Department of Mathematics, Ben Gurion University of the Negev, P.O.B. 653, Be’er Sheva 84105, Israel
- Resource Type
- Journal article
- Publication Details
- Stochastic processes and their applications, Vol.124(10), pp.3392-3411
- DOI
- 10.1016/j.spa.2014.05.007
- ISSN
- 0304-4149
- eISSN
- 1879-209X
- Publisher
- Elsevier B.V
- Grant note
- DOI: 10.13039/100006221, name: United States - Israel Binational Science Foundation, award: 2010117
- Language
- English
- Date published
- 10/2014
- Academic Unit
- Mathematics
- Record Identifier
- 9983985886002771
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