From Hermite Polynomials to Multifractional Processes

DOI10.1239/jap/1371648944zbMath1278.60066OpenAlexW1968086222MaRDI QIDQ5299560

Renaud Marty

Publication date: 26 June 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1371648944

zbMATH Keywords

limit theoremHermite polynomialsample path propertiesmultifractional process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Functional limit theorems; invariance principles (60F17)

Related Items (3)

Multifractional Hermite processes: definition and first properties ⋮ Analysis of a splitting scheme for a class of random nonlinear partial differential equations ⋮ PRICING DERIVATIVES IN HERMITE MARKETS

Cites Work

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