### #anal-appl

### Unbounded images of Gaussian and other stochastic processes in Analysis and Applications

The final version of “Images of Gaussian and other stochastic processes under closed, densely-defined, unbounded linear operators” by Tadashi Matsumoto and myself has just appeared in *Analysis and Applications*.

The purpose of this article is to provide a self-contained rigorous proof of the well-known formula for the mean and covariance function of a stochastic process — in particular, a Gaussian process — when it is acted upon by an *unbounded* linear operator such as an ordinary or partial differential operator, as used in probabilistic approaches to the solution of ODEs and PDEs.
This result is easy to establish in the case of a bounded operator, but the unbounded case requires a careful application of Hille's theorem for the Bochner integral of a Banach-valued random variable.

T. Matsumoto and T. J. Sullivan. “Images of Gaussian and other stochastic processes under closed, densely-defined, unbounded linear operators.” *Analysis and Applications* 22(3):619–633, 2024.

**Abstract.**
Gaussian processes (GPs) are widely-used tools in spatial statistics and machine learning and the formulae for the mean function and covariance kernel of a GP \(v\) that is the image of another GP \(u\) under a linear transformation \(T\) acting on the sample paths of \(u\) are well known, almost to the point of being folklore. However, these formulae are often used without rigorous attention to technical details, particularly when \(T\) is an unbounded operator such as a differential operator, which is common in several modern applications. This note provides a self-contained proof of the claimed formulae for the case of a closed, densely-defined operator \(T\) acting on the sample paths of a square-integrable stochastic process. Our proof technique relies upon Hille's theorem for the Bochner integral of a Banach-valued random variable.

Published on Wednesday 21 February 2024 at 10:00 UTC #publication #anal-appl #prob-num #gp #matsumoto