Suppose $Z:\Omega \times [0,1] \to \mathbb{R}$ is a continuous Gaussian process with mean $\mu(t)$ and covariance kernel $C(t,s)$. Consider the random variable

$$ X_\alpha = \lambda( \{t \; : \; Z(t) > \alpha \}) $$

where $\lambda$ is Lebesgue measure. $X_\alpha$ is a random variable taking values in $[0,1]$. Another thing to note is that for many Gaussian processes the distribution of $X_\alpha$ will have mass at 0 and 1. My question is: under what conditions on $C$ is $$ P( X_\alpha = x ) = 0, \mbox{ for all } x \in (0,1)? $$ Clearly this holds for many well known Gaussian processes, e.g. Brownian motion, and does not hold for many others (for example, suppose $Z(t) = N\sin(2\pi t)$, where $N\sim \mathcal{N}(0,1)$). I hoped there would be some result in the literature giving guidance on this, but I cannot find anything.

  • 1
    $\begingroup$ This question is about continuity, not absolute continuity $\endgroup$ Commented Feb 19, 2021 at 18:15
  • $\begingroup$ Thanks for the comment! I have updated the title. $\endgroup$ Commented Feb 19, 2021 at 18:24


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