Upper classes for the increments of fractional Wiener processes

DOI10.1007/BF01794429MaRDI QIDQ1094749zbMATH OpenOpenAlexFDO

Authors B. George

Publication date 1988

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01794429

zbMATH Keywords

asymptotic behaviourfractional Wiener processGaussian process with stationary incrementsincrement processes

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Gaussian processes (60G15)

Review text

Let \(\{\) X(t),t\(\geq 0\}\) be a centered Gaussian process with stationary increments and E \(X^ 2(t)= C_ 0t^{2\alpha}\) for some \(C_ 0>0\), \(0<\alpha <1\), and let \(0<a_ t\leq t\) be a nondecreasing function of t with \(a_ t/t\) nonincreasing. The asymptotic behaviour of several increment processes constructed from X and \(a_ t\) is studied in terms of their upper classes.

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Cites work

• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
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• scientific article; zbMATH DE number 3369516 (Why is no real title available?)
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• On the increments of the Wiener process
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Cited in

(9)

• A Hanson-Russo-type law of the iterated logarithm for fractional Brownian motion
• Upper classes for the increments of the fractional Wiener process
• On the large increments of fractional Brownian motion
• Asymptotic behaviors for the increments of Gaussian random fields
• Some limit theorems for fractional Lévy Brownian fields
• On upper class of increments of fractional Brownian motion
• Propagation of singularities for the stochastic wave equation
• On Weak Convergence in Dynamical Systems to Self-Similar Processes with Spectral Representation
• On the asymptotic behavior of the increments of a Wiener process

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