Upper classes for the increments of fractional Wiener processes (Q1094749): Difference between revisions
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Revision as of 03:12, 5 March 2024
scientific article
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English | Upper classes for the increments of fractional Wiener processes |
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Upper classes for the increments of fractional Wiener processes (English)
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1988
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Let \(\{\) X(t),t\(\geq 0\}\) be a centered Gaussian process with stationary increments and E \(X^ 2(t)= C_ 0t^{2\alpha}\) for some \(C_ 0>0\), \(0<\alpha <1\), and let \(0<a_ t\leq t\) be a nondecreasing function of t with \(a_ t/t\) nonincreasing. The asymptotic behaviour of several increment processes constructed from X and \(a_ t\) is studied in terms of their upper classes.
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Gaussian process with stationary increments
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asymptotic behaviour
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increment processes
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fractional Wiener process
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