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On some Gaussian Bernstein processes in RN and the periodic Ornstein-Uhlenbeck process | | Pierre-A. Vuillermot
; Jean-C. Zambrini
; | | Date: |
11 Aug 2015 | | Abstract: | In this article we prove new results regarding the existence of Bernstein
processes associated with the Cauchy problem of certain forward-backward
systems of decoupled linear deterministic parabolic equations defined in
Euclidean space of arbitrary dimension N, whose initial and final conditions
are positive measures. We concentrate primarily on the case where the elliptic
part of the parabolic operator is related to the Hamiltonian of an isotropic
system of quantum harmonic oscillators. In this situation there are many
Gaussian processes of interest whose existence follows from our analysis,
including N-dimensional stationary and non-stationary Ornstein-Uhlenbeck
processes, as well as a Bernstein bridge which may be interpreted as a
Markovian loop in a particular case. We also introduce a new class of
stationary non-Markovian processes which we eventually relate to the
N-dimensional periodic Ornstein-Uhlenbeck process, and which is generated by a
one-parameter family of non-Markovian probability measures. In this case our
construction requires an infinite hierarchy of pairs of forward-backward heat
equations associated with the pure point spectrum of the elliptic part, rather
than just one pair in the Markovian case. We finally stress the potential
relevance of these new processes to statistical mechanics, the random evolution
of loops and general pattern theory. | | Source: | arXiv, 1508.2539 | | Services: | Forum | Review | PDF | Favorites | |
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