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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1960 Volume 5, Issue 1, Pages 132–134 (Mi tvp4820)

This article is cited in 5 papers

Short Communications

Properties of Sample Functions of a Stationary Gaussian Process

R. L. Dobrushin

Moscow

Abstract: Let $\{\xi_t(\omega),-\infty<t<\infty\}$ be a separable stationary Gaussian process with a continuous correlation function. Then, the following alternative holds true:
1) either for almost all w the sample functions of the process $\xi_t(\omega)$ are continuous functions of $t$.
2) or there exists a $\beta>0$ such that for almost all $\omega$ the sample function $\xi_t(\omega)$ is such that
$$\varlimsup_{t\to t_0}\xi_t(\omega)-\varliminf_{t\to t_0}\xi_t(\omega)\geq\beta$$
for any $t_0$.
In the second case almost all sample functions have no points of first order discontinuities.

Received: 18.11.1959


 English version:
Theory of Probability and its Applications, 1960, 5:1, 120–122


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