Limit theorems for additive functionals of some self-similar Gaussian processes

arXiv2305.13146MaRDI QIDQ6437510FDOQ6437510

Authors: Minhao Hong, Heguang Liu, Fangjun Xu 

Publication date: 22 May 2023

Abstract: Under certain mild conditions, limit theorems for additive functionals of some $d$-dimensional self-similar Gaussian processes are obtained. These limit theorems work for general Gaussian processes including fractional Brownian motions, sub-fractional Brownian motions and bi-fractional Brownian motions. To prove these results, we use the method of moments and an enhanced chaining argument. The Gaussian processes under consideration are required to satisfy certain strong local nondeterminism property. A tractable sufficient condition for the strong local nondeterminism property is given and it only relays on the covariance functions of the Gaussian processes. Moreover, we give a sufficient condition for the distribution function of a random vector to be determined by its moments.

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