Limit theorems for functionals of two independent Gaussian processes

DOI10.1016/J.SPA.2018.12.014zbMATH Open1448.60081arXiv1711.10642OpenAlexW2963410623WikidataQ128724407 ScholiaQ128724407MaRDI QIDQ2010501FDOQ2010501

Yanyan Li

Publication date: 27 November 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: 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 cite{nx1} and a paring technique are employed.

Full work available at URL: https://arxiv.org/abs/1711.10642

zbMATH Keywords

Gaussian processesmethod of momentslimit theoremchaining argumentpairing technique

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)

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