Decomposition and Limit Theorems for a Class of Self-Similar Gaussian Processes

DOI10.1007/978-3-319-59671-6_5zbMath1409.60039arXiv1508.06641OpenAlexW1929752171MaRDI QIDQ3119735

David Nualart, Daniel Harnett

Publication date: 12 March 2019

Published in: Stochastic Analysis and Related Topics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.06641

zbMATH Keywords

fractional Brownian motionstochastic heat equationself-similar processesHermite variations

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

Related Items (6)

Large deviations for functionals of some self-similar Gaussian processes ⋮ On the distribution and q-variation of the solution to the heat equation with fractional Laplacian ⋮ Unnamed Item ⋮ Decompositions of stochastic convolution driven by a white-fractional Gaussian noise ⋮ The linear stochastic heat equation with Hermite noise ⋮ Behavior with respect to the Hurst index of the Wiener Hermite integrals and application to SPDEs

Cites Work

• Additive functionals of the solution to fractional stochastic heat equation
• Quadratic variations for the fractional-colored stochastic heat equation
• Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation
• A decomposition of the bifractional Brownian motion and some applications
• Central limit theorems for non-linear functionals of Gaussian fields
• Integration questions related to fractional Brownian motion
• Analysis of Variations for Self-similar Processes
• Normal Approximations with Malliavin Calculus
• The Malliavin Calculus and Related Topics
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