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arXiv 0905.4360math.PR
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从唯一泊松过程到两个独立高斯过程的Weak convergence

Weak convergence towards two independent Gaussian processes from a unique Poisson process

Xavier Bardina, David Bascompte

摘要:

我们考虑两个独立的高斯过程,承认一个代表性的确定性内核的随机积分方面的标准维纳过程。本文从一个唯一的泊松过程出发,构造了两类过程,它们的有限维分布按规律收敛于两个独立的高斯过程的有限维分布.作为这一结果的应用,我们得到的过程族,收敛于法律的分数布朗运动和亚分数布朗运动。

英文摘要:

We consider two independent Gaussian processes that admit a representation in terms of a stochastic integral of a deterministic kernel with respect to a standard Wiener process. In this paper we construct two families of processes, from a unique Poisson process, the finite dimensional distributions of which converge in law towards the finite dimensional distributions of the two independent Gaussian processes. As an application of this result we obtain families of processes that converge in law towards fractional Brownian motion and sub-fractional Brownian motion.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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