Approximation of fractional Brownian sheet by Wiener integral

DOI10.1080/03610926.2017.1321123zbMath1390.60146OpenAlexW2608216690MaRDI QIDQ4634828

Qiangqiang Chang, Liheng Sang, Guang Jun Shen

Publication date: 11 April 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1321123

zbMATH Keywords

approximationfractional Brownian sheetWiener integral.

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)

Cites Work

• Approximation of fractional Brownian motion by martingales
• Approximations of fractional Brownian motion
• Weak approximation of the fractional Brownian sheet from random walks
• Fractional Brownian motion and martingale-differences
• Weak convergence to the fractional Brownian sheet and other two-parameter Gaussian processes.
• Weak approximation of the Brownian sheet from a Poisson process in the plane
• Weak convergence to the fractional Brownian sheet using martingale differences
• Stochastic calculus for fractional Brownian motion and related processes.
• Approximation in law to the \(d\)-parameter fractional Brownian sheet based on the functional invariance principle
• The Malliavin Calculus and Related Topics
• Weak approximation for a class of Gaussian processes
• Approximation to Multifractional Riemann-Liouville Brownian Sheet
• Approximation of fractional Brownian motion by Wiener integrals
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Approximations of a complex Brownian motion by processes constructed from a Lévy process

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