Convergence in Law to Operator Fractional Brownian Motion of Riemann-Liouville Type

Convergence in Law to Operator Fractional Brownian Motion of Riemann-Liouville Type

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摘要 In this paper, we extend the well-studied fractional Brownian motion of Riemann-Liouville type to the multivariate case, and the corresponding processes are called operator fractional Brownian motions of Riemann-Liouville type. We also provide two results on approximation to operator fractional Brownian motions of Riemann-Liouville type. The first approximation is based on a Poisson process, and the second one is based on a sequence of I.I.D. random variables. In this paper, we extend the well-studied fractional Brownian motion of Riemann-Liouville type to the multivariate case, and the corresponding processes are called operator fractional Brownian motions of Riemann-Liouville type. We also provide two results on approximation to operator fractional Brownian motions of Riemann-Liouville type. The first approximation is based on a Poisson process, and the second one is based on a sequence of I.I.D. random variables.

作者 Hong Shuai DAI

机构地区 School of Mathematics and Information Sciences

出处《Acta Mathematica Sinica,English Series》 SCIE CSCD 2013年第4期777-788,共12页 数学学报（英文版）

基金 Supported by National Natural Science Foundation of China(Grant No.11126343)

关键词 Operator fractional Brownian motion of Riemann-Liouville type Poisson process a se-quence of I.I.D. random variables weak convergence Operator fractional Brownian motion of Riemann-Liouville type, Poisson process, a se-quence of I.I.D. random variables, weak convergence

分类号 O211.6 [理学—概率论与数理统计] O11 [理学—基础数学]

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Acta Mathematica Sinica,English Series

2013年第4期

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Convergence in Law to Operator Fractional Brownian Motion of Riemann-Liouville Type

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