Random broken lines that weakly converge to a fractional Ornstein-Uhlenbeck process

DOI10.1007/S10958-005-0204-1MaRDI QIDQ2567787zbMATH OpenOpenAlexFDO

Authors A. V. Liber, O. V. Rusakov

Publication date 13 October 2005

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-005-0204-1

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Gaussian processes (60G15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Brownian motion (60J65)

Recommendations

• Weak convergence of random polygonal lines to a Gaussian process
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Cites work

• scientific article; zbMATH DE number 3248575 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Long memory in continuous-time stochastic volatility models
• Semi-Stable Stochastic Processes
• The Invariance Principle for Stationary Processes

Cited in

(3)

• Convergence of random step lines to Ornstein-Uhlenbeck-type processes
• On some local asymptotic properties of sequences with a random index
• Weak convergence of random polygonal lines to a Gaussian process

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