scientific article

zbMath1439.60037MaRDI QIDQ3303406

Louis G. Gorostiza

Publication date: 11 August 2020

Full work available at URL: https://miscelaneamatematica.org/welcome/default/download/tbl_articulos.pdf2.b4404759bfb8067e.363030342e706466.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) General theory of stochastic processes (60G07)

Related Items

Bifractional Brownian motion for \(H>1\) and \(2HK\leq 1\)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Properties and numerical evaluation of the Rosenblatt distribution
• On the distribution of the Rosenblatt process
• A strong convergence to the Rosenblatt process
• Particle picture interpretation of some Gaussian processes related to fractional Brownian motion
• Particle systems with quasi-homogeneous initial states and their occupation time fluctuations
• The equivalence of ergodicity and weak mixing for infinitely divisible processes
• A series expansion of fractional Brownian motion
• A weighted occupation time for a class of measure-valued branching processes
• Weak convergence towards two independent Gaussian processes from a unique Poisson process
• A decomposition of the bifractional Brownian motion and some applications
• Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension
• Multiple Wiener-Ito integrals. With applications to limit theorems
• Large deviations for the occupation time functional of a Poisson system of independent Brownian particles
• Sub-fractional Brownian motion and its relation to occupation times
• A long range dependence stable process and an infinite variance branching system
• Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems
• Stochastic calculus for fractional Brownian motion and related processes.
• Sample path properties of bifractional Brownian motion
• On bifractional Brownian motion
• On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
• Convergence to Weighted Fractional Brownian Sheets
• Analysis of Variations for Self-similar Processes
• Introduction to Probability and Stochastic Processes with Applications
• Singularity of Subfractional Brownian Motions with Different Hurst Indices
• Selected Works of Murray Rosenblatt
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields
• Long-Memory Processes
• Analysis of the Rosenblatt process
• Some properties of the sub-fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Long Range Dependence
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional Brownian motion, random walks and binary market models