Algebra Commons^™

On A Class Of Quaternionic Positive Definite Functions And Their Derivatives, Daniel Alpay, Fabrizio Colombo, Irene Sabadini

Mathematics, Physics, and Computer Science Faculty Articles and Research

In this paper, we start the study of stochastic processes over the skew field of quaternions. We discuss the relation between positive definite functions and the covariance of centered Gaussian processes and the construction of stochastic processes and their derivatives. The use of perfect spaces and strong algebras and the notion of Fock space are crucial in this framework.

On The Equivalence Of Probability Spaces, Daniel Alpay, Palle Jorgensen, David Levanony

Mathematics, Physics, and Computer Science Faculty Articles and Research

For a general class of Gaussian processes W, indexed by a sigma-algebra F of a

general measure space (M,F, _), we give necessary and sufficient conditions for the validity

of a quadratic variation representation for such Gaussian processes, thus recovering _(A),

for A 2 F, as a quadratic variation of W over A. We further provide a harmonic analysis

representation for this general class of processes. We apply these two results to: (i) a computation

of generalized Ito-integrals; and (ii) a proof of an explicit, and measure-theoretic

equivalence formula, realizing an equivalence between the two approaches to Gaussian processes,

one …

Spectral Theory For Gaussian Processes: Reproducing Kernels, Random Functions, Boundaries, And L2-Wavelet Generators With Fractional Scales, Daniel Alpay

Mathematics, Physics, and Computer Science Faculty Articles and Research

A recurrent theme in functional analysis is the interplay between the theory of positive definite functions, and their reproducing kernels, on the one hand, and Gaussian stochastic processes, on the other. This central theme is motivated by a host of applications, e.g., in mathematical physics, and in stochastic differential equations, and their use in financial models. In this paper, we show that, for three classes of cases in the correspondence, it is possible to obtain explicit formulas which are amenable to computations of the respective Gaussian stochastic processes. For achieving this, we first develop two functional analytic tools. They are: …

Stochastic Processes Induced By Singular Operators, Daniel Alpay, Palle Jorgensen

Mathematics, Physics, and Computer Science Faculty Articles and Research

In this paper we study a general family of multivariable Gaussian stochastic processes. Each process is prescribed by a fixed Borel measure σ on Rn. The case when σ is assumed absolutely continuous with respect to Lebesgue measure was stud- ied earlier in the literature, when n = 1. Our focus here is on showing how different equivalence classes (defined from relative absolute continuity for pairs of measures) translate into concrete spectral decompositions of the corresponding stochastic processes under study. The measures σ we consider are typically purely singular. Our proofs rely on the theory of (singular) unbounded operators in …