Holder Conditions for Gaussian Processes with Stationary Increments.

by Michael B. Marcus

Purchase Print Copy

 FormatList Price Price
Add to Cart Paperback $23.00 $18.40 20% Web Discount

Analogues to the well-known results for Brownian motion, the law of the iterated logarithm, and Paul Levy's uniform Holder condition, for a wide class of real-valued separable Gaussian processes with stationary increments. The lower bounds are determined for the almost sure Holder conditions at a point and for the almost sure uniform Holder conditions, by using a simplified version of the Chung-Erdos lemma which enables an extension of techniques usually used with independent random variables. Upper bounds are determined for all processes known to be continuous by the results of X. Fernique. 62 pp. Refs. (See also RM-5226-PR.)

This report is part of the RAND Corporation paper series. The paper was a product of the RAND Corporation from 1948 to 2003 that captured speeches, memorials, and derivative research, usually prepared on authors' own time and meant to be the scholarly or scientific contribution of individual authors to their professional fields. Papers were less formal than reports and did not require rigorous peer review.

The RAND Corporation is a nonprofit institution that helps improve policy and decisionmaking through research and analysis. RAND's publications do not necessarily reflect the opinions of its research clients and sponsors.