On the structure of Gaussian random variablesReport as inadecuate




On the structure of Gaussian random variables - Download this document for free, or read online. Document in PDF available to download.

1 CES - Centre d-économie de la Sorbonne 2 SAMOS - Statistique Appliquée et MOdélisation Stochastique

Abstract : We study when a given Gaussian random variable on a given probability space $\left \Omega , {\cal{F}}, P ight $ is equal almost surely to $\beta {1}$ where $\beta $ is a Brownian motion defined on the same or possibly extended probability space. As a consequences of this result, we prove that the distribution of a random variable satisfying in addition a certain property in a finite sum of Wiener chaoses cannot be normal. This result also allows to understand better some characterization of the Gaussian variables obtained via Malliavin calculus.





Author: Ciprian Tudor -

Source: https://hal.archives-ouvertes.fr/



DOWNLOAD PDF




Related documents