Donsker type theorem for fractional Poisson process

DOI10.1016/j.spl.2019.01.036zbMath1459.60074OpenAlexW2912133878MaRDI QIDQ2322591

Héctor Araya, Soledad Torres, Natalia Bahamonde, Frederi G. Viens

Publication date: 5 September 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2019.01.036

zbMATH Keywords

long memoryrandom walkfractional Poisson processSkorohod topologyDonsker type theorem

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17)

Related Items (2)

The closed-form option pricing formulas under the sub-fractional Poisson volatility models ⋮ Parameter estimation for a discrete time model driven by fractional Poisson process

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