Approximation to Multifractional Riemann-Liouville Brownian Sheet

DOI10.1080/03610926.2013.765476zbMATH Open1319.60079arXiv1212.1818OpenAlexW2019515227MaRDI QIDQ5265838FDOQ5265838

Hongshuai Dai

Publication date: 29 July 2015

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Abstract: In this paper, we first introduce multifrational Riemann-Liouville Brownian sheets. Then, we show a result of approximation in law of the multifractional Riemann-Liouville Brownian sheet. The construction of these approximations is based on a sequence of I.I.D random variables.

Full work available at URL: https://arxiv.org/abs/1212.1818

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zbMATH Keywords

weak convergenceapproximationDonsker's theoremmultifractional Riemann-Liouville Brownian sheet

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)

Cites Work

• Fractional Brownian Motions, Fractional Noises and Applications
• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
• Multiparameter Processes
• Approximation in law to the \(d\)-parameter fractional Brownian sheet based on the functional invariance principle
• Weak convergence to the fractional Brownian sheet and other two-parameter Gaussian processes.
• Local times of multifractional Brownian sheets
• From \(N\) parameter fractional Brownian motions to \(N\) parameter multifractional Brownian motions
• Inequalities with Applications to the Weak Convergence of Random Processes with Multi-Dimensional Time Parameters
• Geometric properties of fractional Brownian sheets
• On some possible generalizations of fractional Brownian motion.
• Fractional Brownian motion and multifractional Brownian motion of Riemann-Liouville type
• A note on approximation to multifractional Brownian motion
• Weak convergence to multifractional Brownian motion of Riemann-Liouville type in Besov spaces

Cited In (3)

• Weak convergence of the complex fractional Brownian motion
• Approximation in law to the \(d\)-parameter fractional Brownian sheet based on the functional invariance principle
• Approximation of fractional Brownian sheet by Wiener integral

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