Selfsimilar processes with stationary increments in the second Wiener chaos

• Autorzy: Maejima M. , Tudor C. A.
• Języki publikacji: EN

Abstrakty

EN

We study selfsimilar processes with stationary increments in the second Wiener chaos. We show that, in contrast with the first Wiener chaos which contains only one such process (the fractional Brownian motion), there is an infinity of selfsimilar processes with stationary increments living in the Wiener chaos of order two. We prove some limit theorems which provide a mechanism to construct such processes.

Słowa kluczowe

EN

selfsimilar processes; stationary increments; second Wiener chaos; limit theorems; multiple stochastic integrals; weak convergence

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2012
• Tom: Vol. 32, Fasc. 1
• Strony: 167--186
• Opis fizyczny: Bibliogr. 12 poz.

Twórcy

autor

Maejima M.

• Department of Mathematics, Faculty of Science and Technology, Keio University, 3-14-1, Hiyoshi, Kohoku-ku, Yokohama 223-8522, Japan

autor

Tudor C. A.

• Laboratoire Paul Painlevé, U.F.R. Mathématiques, Université de Lille 1, F-59655 Villeneuve d’Ascq, France

Bibliografia

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