Linear distribution processes

[摘要] In this paper, we propose a generalization of continuous-time processed defined byXt=∫f(t−s)dWs,to the case offbeing a distribution. We give a necessary and sufficient condition forf, such that the obtained process is a second order distribution process. We study the moments and the regularity of these processes. In addition, we investigate a generalization to processes with stationary increments.

[学科分类] 应用数学