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2008 Infinite Divisibility of Gaussian Squares with Non-zero Means
Michael Marcus, Jay Rosen
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Electron. Commun. Probab. 13: 364-376 (2008). DOI: 10.1214/ECP.v13-1389


We give necessary and sufficient conditions for a Gaussian vector with non-zero mean, to have infinitely divisible squares for all scalar multiples of the mean, and show how the this vector is related to the local times of a Markov chain determined by the covariance matrix of the Gaussian vector. Our results add to results of Griffiths, Bapat, Eisenbaum and Kaspi.


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Michael Marcus. Jay Rosen. "Infinite Divisibility of Gaussian Squares with Non-zero Means." Electron. Commun. Probab. 13 364 - 376, 2008.


Accepted: 27 June 2008; Published: 2008
First available in Project Euclid: 6 June 2016

zbMATH: 1189.60080
MathSciNet: MR2415144
Digital Object Identifier: 10.1214/ECP.v13-1389

Primary: 60G15
Secondary: 60E07 , 60J27

Keywords: Gaussian vectors , Infinite divisibility , Markov chains

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