From Hermite Polynomials to Multifractional Processes

DOI10.1239/JAP/1371648944MaRDI QIDQ5299560zbMATH OpenOpenAlexFDO

Authors Renaud Marty

Publication date 26 June 2013

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1371648944

zbMATH Keywords

Hermite polynomiallimit theoremmultifractional processsample path properties

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Sample path properties (60G17) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

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• Elliptic Gaussian random processes
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• Gaussian and their subordinates self-similar random generalized fields
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Identification and properties of real harmonizable fractional Lévy motions
• Integrated Fractional white Noise as an Alternative to Multifractional Brownian Motion
• Invariance principle, multifractional Gaussian processes and long-range dependence
• Multiple Wiener integral
• Non-central limit theorems for non-linear functional of Gaussian fields
• Normal approximations with Malliavin calculus. From Stein's method to universality
• The free Markoff field
• The Invariance Principle for Stationary Processes
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited in

(9)

• Lower bound for local oscillations of Hermite processes
• Multitime differentiable stochastic processes, diffusion PDEs, Tzitzeica hypersurfaces
• Analysis of a splitting scheme for a class of random nonlinear partial differential equations
• scientific article; zbMATH DE number 3868342 (Why is no real title available?)
• scientific article; zbMATH DE number 482165 (Why is no real title available?)
• PRICING DERIVATIVES IN HERMITE MARKETS
• Multifractional Hermite processes: definition and first properties
• Regularization and integral representations of Hermite processes
• Generalized multivariate Hermite distributions and related point processes

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