A weak limit theorem for generalized multifractional Brownian motion

We provide a result on an approximation to the generalized multifractional Brownian motion in the space of continuous functions on [0, 1]. The construction of this approximation is based on the Poisson process.

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Year of publication:	2010
Authors:	Dai, Hongshuai ; Li, Yuqiang
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 5-6, p. 348-356
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008551090