Finite dimensional determinants as characteristic functions of quadratic Wiener functionals

Keisuke Hara (Ritsumeikan University)

Abstract


We show a method and the structure to calculate the characteristic functions of quadratic Wiener functionals by using classical Weierstrass-Hadamard's theory on entire functions. We also examine the idea by an example for Gaussian processes with multiple Markovian property.

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Pages: 26--35

Publication Date: March 22, 2004

DOI: 10.1214/ECP.v9-1091

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