"mu-Brownian Motion, Dualities, Diffusions, Transforms, and Reproducing" by Daniel Alpay and Palle Jorgensen
 

mu-Brownian Motion, Dualities, Diffusions, Transforms, and Reproducing Kernel Hilbert Spaces

Document Type

Article

Publication Date

1-24-2022

Abstract

Replacing the Lebesgue measure on an interval by a Stieltjes positive non-atomic measure, we study the corresponding counterpart of the Brownian motion. We introduce a new heat equation associated with the measure and make connections with stationary-increments Gaussian processes. We introduce a new transform analysis, and heat equation, associated with the measure, and make connections here too with stationary-increments and stationary Gaussian processes. In the main result of this paper (Theorem 7.2), we use white noise space analysis to derive a new heat equation associated with a (wide class of) stationary-increments Gaussian processes.

Comments

This article was originally published in Journal of Theoretical Probability in 2022. https://doi.org/10.1007/s10959-021-01146-w

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Peer Reviewed

1

Copyright

Springer

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