Tempered Hermite process

DOI10.15559/15-VMSTA34MaRDI QIDQ340791zbMATH OpenFDO

Authors Farzad Sabzikar

Publication date 15 November 2016

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.01108

zbMATH Keywords

Fourier transformweak limit theoremdiscrete chaostempered Hermite processWiener-Itō integral

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17) Generalized stochastic processes (60G20) Stochastic integrals (60H05)

Abstract: A tempered Hermite process modifies the power law kernel in the time domain representation of a Hermite process by multiplying an exponential tempering factor $lambda>0$ such that the process is well defined for Hurst parameter $H>frac12$. A tempered Hermite process is the weak convergence limit of a certain discrete chaos process.

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Cited in

(2)

• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• Tempered fractional Brownian motion: wavelet estimation, modeling and testing

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