Limit theorems for functionals of two independent Gaussian processes

Under certain mild conditions, some limit theorems for functionals of two independent Gaussian processes are obtained. The results apply to general Gaussian processes including fractional Brownian motion, sub-fractional Brownian motion and bi-fractional Brownian motion. A new and interesting phenomenon is that, in comparison with the results for fractional Brownian motion, extra randomness appears in the limiting distributions for Gaussian processes with nonstationary increments, say sub-fractional Brownian motion and bi-fractional Brownian. The results are obtained based on the method of moments, in which Fourier analysis, the chaining argument introduced in [11] and a pairing technique are employed.