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A weak limit theorem for generalized multifractional Brownian motion

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  • Dai, Hongshuai
  • Li, Yuqiang

Abstract

We provide a result on an approximation to the generalized multifractional Brownian motion in the space of continuous functions on [0, 1]. The construction of this approximation is based on the Poisson process.

Suggested Citation

  • Dai, Hongshuai & Li, Yuqiang, 2010. "A weak limit theorem for generalized multifractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 348-356, March.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:5-6:p:348-356
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    References listed on IDEAS

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    1. Antoine Ayache & Jacques Vehel, 2000. "The Generalized Multifractional Brownian Motion," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 7-18, January.
    2. Enriquez, Nathanaël, 2004. "A simple construction of the fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 109(2), pages 203-223, February.
    3. Stoev, Stilian A. & Taqqu, Murad S., 2006. "How rich is the class of multifractional Brownian motions?," Stochastic Processes and their Applications, Elsevier, vol. 116(2), pages 200-221, February.
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    Cited by:

    1. Hongshuai Dai, 2013. "Convergence in Law to Operator Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 26(3), pages 676-696, September.

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