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arxiv: 0910.2932 · v1 · submitted 2009-10-15 · 🧮 math.PR

An almost sure limit theorem for Wick powers of Gaussian differences quotients

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keywords gaussiansigmawickzeroadditionalalmostboundedcompact
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Let G={G(x), x\in R_+}, G(0)=0, be a mean zero Gaussian process with $E(G(x)-G(y))^2=\sigma ^2(x-y) $. Let $ \rho (x)= \frac12{d^{2}\over dx^2}\sigma^2(x)$, $x\ne 0 $. When $\rho^{k}$ is integrable at zero and satisfies some additional regularity conditions, \[ \lim_{h\downarrow 0} \int :(\frac{G(x+h)-G(x)}{h})^{k}:g(x) dx=:(G') ^{k}:(g){.3 in}a.s. \] for all $g\in B_{0}(R^{+})$, the set of bounded Lebesgue measurable functions on $R_+$ with compact support. Here $G'$ is a generalized derivative of $G$ and $:(\cd)^{k}:$ is the $k$--th order Wick power.

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