A note on approximation to multifractional Brownian motion

Hong Shuai Dai; Yu Qiang Li

doi:10.1007/s11425-011-4246-1

A note on approximation to multifractional Brownian motion

Hong Shuai Dai, Yu Qiang Li

School of Statistics

Guangxi University

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

In this paper, we prove approximations of multifractional Brownian motions with moving-average representations and of those with harmonizable representations in the space of continuous functions on [0,1]. These approximations are constructed by Poisson processes.

Original language	English
Pages (from-to)	2145-2154
Number of pages	10
Journal	Science China Mathematics
Volume	54
Issue number	10
DOIs	https://doi.org/10.1007/s11425-011-4246-1
State	Published - Oct 2011

Keywords

Poisson process
fractional Brownian motion
multifractional Brownian motion
weak convergence

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title = "A note on approximation to multifractional Brownian motion",

abstract = "In this paper, we prove approximations of multifractional Brownian motions with moving-average representations and of those with harmonizable representations in the space of continuous functions on [0,1]. These approximations are constructed by Poisson processes.",

keywords = "Poisson process, fractional Brownian motion, multifractional Brownian motion, weak convergence",

author = "Dai, \{Hong Shuai\} and Li, \{Yu Qiang\}",

year = "2011",

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AB - In this paper, we prove approximations of multifractional Brownian motions with moving-average representations and of those with harmonizable representations in the space of continuous functions on [0,1]. These approximations are constructed by Poisson processes.

KW - Poisson process

KW - fractional Brownian motion

KW - multifractional Brownian motion

KW - weak convergence

UR - https://www.scopus.com/pages/publications/81155160886

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JO - Science China Mathematics

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A note on approximation to multifractional Brownian motion

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Keywords

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