The spectral type of polynomials of the Gaussian process


Zoran A. Ivković




Let $\xi(t)=\int^t_0(t,u)d\eta(u)$ be the proper canonical representation of the Gaussian process $\{\xi(t),\ t>0\}$ and let $\mathcal H_n$ be the linear closure of polynomials $P_n(\xi(t_1),\dots,\xi(t_n))$. The conditional expectation $E_t(\cdot)=E(\cdot\mid \xi(u)$, $u\leq t$, $t\geq0$, is a resolution of the identity in the separable Hilbert space $\mathcal H_n$. It is proved that the measure $\|d\eta(u)\|^2$ is the uniform maximal spectral type of the infinite multiplicity in $\mathcal H_n$.