An Approximation of Subfractional Brownian Motion

DOI10.1080/03610926.2013.769598zbMath1295.60048OpenAlexW2017676043MaRDI QIDQ5419689

Litan Yan, Guang Jun Shen

Publication date: 11 June 2014

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

Full work available at URL: https://doi.org/10.1080/03610926.2013.769598

zbMATH Keywords

convergence in distributionmartingale differencessubfractional Brownian motion

Mathematics Subject Classification ID

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

Related Items (11)

Arbitrage with fractional Gaussian processes ⋮ Fractional Brownian sheet and martingale difference random fields ⋮ Least squares estimation for the drift parameters in the sub-fractional Vasicek processes ⋮ A limit law for functionals of multiple independent fractional Brownian motions ⋮ Approximation to two independent Gaussian processes from a unique Lévy process and applications ⋮ Statistical inference for Vasicek-type model driven by self-similar Gaussian processes ⋮ Stochastic heat equation and martingale differences ⋮ The structure of autocovariance matrix of discrete time subfractional Brownian motion ⋮ Volatility estimation of general Gaussian Ornstein-Uhlenbeck process ⋮ An approximation to the subfractional Brownian sheet using martingale differences ⋮ Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation

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