独立的实正态过程线性组合的正态性

Normality of Linear Combination of Independent Real Normal Processes

本研究介绍了正态过程及随机过程的有限维特征函数族的概念,证明了m个相互独立的实正态过程的线性组合仍为实正态过程,并给出了此线性组合的任意有限维特征函数的具体表达式.

In this paper,the concepts of normal processes and the family of finite dimensional eigenfunction for stochastic processes are introduced.It is proved that the linear combination of independent real normal processes is still a real normal process.And the concrete expression of arbitrary finite dimensional eigenfunction of this linear combination is also provided.