A Fractional Donsker Theorem

DOI10.1080/07362994.2013.866521zbMath1291.60063OpenAlexW2094548066MaRDI QIDQ5413864

Peter Parczewski

Publication date: 2 May 2014

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

Full work available at URL: https://doi.org/10.1080/07362994.2013.866521

zbMATH Keywords

weak convergencefractional Brownian motioninvariance principle

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)

Related Items (4)

Parameter identification for mixed fractional Brownian motions with the drift parameter ⋮ The self-normalized Donsker theorem revisited ⋮ Squarefrees are Gaussian in short intervals ⋮ Weak and strong discrete-time approximation of fractional SDEs

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• Weak convergence to fractional brownian motion and to the rosenblatt process
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• Fractional Brownian motion, random walks and binary market models

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