Approximation of the finite dimensional distributions of multiple fractional integrals

Bardina, Xavier; Es-Sebaiy, Khalifa; Tudor, Ciprian

Document type :

Compte-rendu et recension critique d'ouvrage

Title :

Approximation of the finite dimensional distributions of multiple fractional integrals

Author(s) :

Bardina, Xavier [Auteur]
Departament de Matemàtiques [Barcelona] [UAB]
Es-Sebaiy, Khalifa [Auteur]
Statistique, Analyse et Modélisation Multidisciplinaire (SAmos-Marin Mersenne) [SAMM]
Tudor, Ciprian [Auteur]

Laboratoire Paul Painlevé - UMR 8524 [LPP]

Journal title :

Journal of Mathematical Analysis and Applications

Pages :

694-711

Publisher :

Elsevier

Publication date :

2010

ISSN :

0022-247X

HAL domain(s) :

Mathématiques [math]/Probabilités [math.PR]

English abstract : [en]

We construct a family $I_{n_{\eps}}(f)_{t}$ of continuous stochastic processes that converges in the sense of finite dimensional distributions to a multiple Wiener-Itô integral $I_{n}^{H}(f1^{\otimes n}_{[0,t] })$ with ...
Show more >We construct a family $I_{n_{\eps}}(f)_{t}$ of continuous stochastic processes that converges in the sense of finite dimensional distributions to a multiple Wiener-Itô integral $I_{n}^{H}(f1^{\otimes n}_{[0,t] })$ with respect to the fractional Brownian motion. We assume that $H>\frac{1}{2}$ and we prove our approximation result for the integrands $f$ in a rather general class.Show less >

Language :

Anglais

Popular science :

Non

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