Everywhere irregularity of certain classes of random processes with stationary Gaussian increments

P.L. Davies

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    Abstract

    This paper is concerned with everywhere local behaviour of certain classes of random processes which have stationary Gaussian increments. It is shown that for two classes of processes almost all the sample functions have the following property. The supremum of the increments in the neighbourhood of a point is everywhere of larger order than the standard deviation. For a third class of processes it is shown that the supremum is at least of the same order as the standard deviation.
    Original languageEnglish
    Pages (from-to)103-118
    Number of pages16
    JournalAdvances in Applied Probability
    Volume5
    Issue number1
    Publication statusPublished - 1973

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