On Some Distributional Properties of Subordinated Gaussian Random Fields

被引：0
|
作者：
Robin Merkle
Andrea Barth
机构：
[1] University of Stuttgart,IANS SimTech
来源：
Methodology and Computing in Applied Probability | 2022年 / 24卷
关键词：
Subordinated Gaussian random fields; Lévy fields; Pointwise distribution; Pointwise stochastic regularity; 60G60; 60G51; 60G55; 60G15; 60E05;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Motivated by the subordinated Brownian motion, we define a new class of (in general discontinuous) random fields on higher-dimensional parameter domains: the subordinated Gaussian random field. We investigate the pointwise marginal distribution of the constructed random fields, derive a Lévy-Khinchin-type formula and semi-explicit formulas for the covariance function. Further, we study the pointwise stochastic regularity and present various numerical examples.
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页码：2661 / 2688
页数：27
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