Weak convergence towards two independent Gaussian processes from a unique Poisson process (Q972119): Difference between revisions

Two independent Gaussian processes that admit a representation in terms of stochastic integral and are generated by independent standard Brownian motions are considered. Two families of processes are constructed from the unique Poisson process. The finite-dimensional distributions of these families converge in law to the finite-dimensional distributions of the mentioned Gaussian processes. Using these results, the convergence in law of special families of processes towards fractional Brownian motion and sub-fractional motion is proved.