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JOURNALS // Trudy Instituta Matematiki i Mekhaniki UrO RAN // Archive

Trudy Inst. Mat. i Mekh. UrO RAN, 2018 Volume 24, Number 2, Pages 3–11 (Mi timm1517)

This article is cited in 1 paper

On the definition of a Brownian sheet

U. A. Alekseeva

Ural Federal University named after the First President of Russia B. N. Yeltsin, Ekaterinburg

Abstract: We study the properties of a Brownian sheet, which is a random field generalizing the Brownian motion. It is demonstrated that different sets of properties can be used to define this random function, just as in the case of the Brownian motion. We formulate four definitions of the Brownian motion and, based on them, four definitions of a Brownian sheet. An interesting property of the Brownian motion, which is important for our discussion, is the fact that a process with continuous trajectories and independent increments starting from zero is Gaussian (J. Doob's theorem). In the present paper, we generalize this statement to the case of random fields, which allows us to prove the equivalence of the formulated definitions of a Brownian sheet.

Keywords: Brownian sheet, Brownian motion, Wiener process, Gaussian process, Wiener-Chentsov random field.

UDC: 517.977

MSC: 60G60, 60G15

Received: 19.03.2018

DOI: 10.21538/0134-4889-2018-24-2-3-11



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