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1.
In this paper we study the problem of the approximation in
law of the fractional Brownian sheet in the topology of the
anisotropic Besov spaces. We prove the convergence in law of two
families of processes to the fractional Brownian sheet: the
first family is constructed from a Poisson procces in the plane
and the second family is defined by the partial sums of two
sequences of real independent fractional brownian
motions. 相似文献
2.
Wensheng Wang 《Probability Theory and Related Fields》2003,126(2):203-220
Kesten and Spitzer have shown that certain random walks in random sceneries converge to stable processes in random sceneries.
In this paper, we consider certain random walks in sceneries defined using stationary Gaussian sequence, and show their convergence
towards a certain self-similar process that we call fractional Brownian motion in Brownian scenery.
Received: 17 April 2002 / Revised version: 11 October 2002 /
Published online: 15 April 2003
Research supported by NSFC (10131040).
Mathematics Subject Classification (2002): 60J55, 60J15, 60J65
Key words or phrases: Weak convergence – Random walk in random scenery – Local time – Fractional Brownian motion in Brownian scenery 相似文献
3.
Hong Shuai Dai 《数学学报(英文版)》2013,29(4):777-788
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. 相似文献
4.
5.
Stochastic calculus with respect to fractional Brownian motion (fBm) has attracted a lot of interest in recent years, motivated in particular by applications in finance and Internet traffic modeling. Multifractional Brownian motion (mBm) is an extension of fBm enabling to control the local regularity of the process. It is obtained by replacing the constant Hurst parameter H of fBm by a function h(t), thus allowing for a finer modelling of various phenomena.In this work we extend to mBm the construction of the Wick–Itô stochastic integral with respect to fBm, as originally proposed in Bender (Stoch. Process. Appl. 104 (2003), pp. 81–106), Bender (Bernouilli 9(6) (2003), pp. 955–983), Biagini et al. (Proceedings of Royal Society, special issue on stochastic analysis and applications, 2004, pp. 347–372) and Elliott and Van der Hoek (Math. Finance 13(2) (2003), pp. 301–330). In that view, a multifractional white noise is defined and used to integrate with respect to mBm a large class of stochastic processes using Wick products. Itô formulas (both for tempered distributions and for functions with sub-exponential growth) are obtained, as well as a Tanaka Formula. 相似文献
6.
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. 相似文献
7.
Inge S. Helland 《Probability Theory and Related Fields》1980,52(3):251-265
Summary We consider a minimal form of the usual conditions for the dependent central limit theorem and invariance principle for near martingales. We show that these conditions imply convergence to Brownian motion in a way that is slightly stronger than weak convergence in D[0,). On the other hand, if a sequence of processes with paths in D[0,) converges to Brownian motion in this way, then we can always find a sequence of partitions of the time axis that is such that these conditions hold for the corresponding array of increments. 相似文献
8.
We consider a random walk that converges weakly to a fractional Brownian motion with Hurst index H > 1/2. We construct an integral-type functional of this random walk and prove that it converges weakly to an integral constructed
on the basis of the fractional Brownian motion.
__________
Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 59, No. 8, pp. 1040–1046, August, 2007. 相似文献
9.
Stochastic integration w.r.t. fractional Brownian motion (fBm) has raised strong interest in recent years, motivated in particular by applications in finance and Internet traffic modelling. Since fBm is not a semi-martingale, stochastic integration requires specific developments. Multifractional Brownian motion (mBm) generalizes fBm by letting the local Hölder exponent vary in time. This is useful in various areas, including financial modelling and biomedicine. The aim of this work is twofold: first, we prove that an mBm may be approximated in law by a sequence of “tangent” fBms. Second, using this approximation, we show how to construct stochastic integrals w.r.t. mBm by “transporting” corresponding integrals w.r.t. fBm. We illustrate our method on examples such as the Wick–Itô, Skorohod and pathwise integrals. 相似文献
10.
Zhen Long Chen 《数学学报(英文版)》2013,29(9):1723-1742
The main goal of this paper is to study the sample path properties for the harmonisable-type N-parameter multifractional Brownian motion, whose local regularities change as time evolves. We provide the upper and lower bounds on the hitting probabilities of an (N, d)-multifractional Brownian motion. Moreover, we determine the Hausdorff dimension of its inverse images, and the Hausdorff and packing dimensions of its level sets. 相似文献
11.
In this paper, we show that for t > 0, the joint distribution of the past {W t?s : 0 ≤ s ≤ t} and the future {W t + s :s ≥ 0} of a d-dimensional standard Brownian motion (W s ), conditioned on {W t ∈ U}, where U is a bounded open set in ? d , converges weakly in C[0,∞)×C[0,∞) as t→∞. The limiting distribution is that of a pair of coupled processes Y + B 1,Y + B 2 where Y,B 1,B 2 are independent, Y is uniformly distributed on U and B 1,B 2 are standard d-dimensional Brownian motions. Let σ t ,d t be respectively, the last entrance time before time t into the set U and the first exit time after t from U. When the boundary of U is regular, we use the continuous mapping theorem to show that the limiting distribution as t → ∞ of the four dimensional vector with components \((W_{\sigma _{t}},t-\sigma _{t},W_{d_{t}},d_{t}-t)\), conditioned on {W t ∈U}, is the same as that of the four dimensional vector whose components are the place and time of first exit from U of the processes Y + B 1 and Y + B 2 respectively. 相似文献
12.
13.
林正炎 《中国科学A辑(英文版)》2002,45(10):1291-1300
In this paper, we study globle path behavior of a multifractional Brownian motion, which is a generalization of the fractional
Brownian motion. 相似文献
14.
Alireza Ranjbar-Motlagh 《Journal of Mathematical Analysis and Applications》2022,505(2):125508
The purpose of this article is to study the Besov type function spaces for maps which are defined on abstract metric-measure spaces. We extend some of the embedding theorems of the classical Besov spaces to the setting of abstract spaces. 相似文献
15.
We establish an invariance principle for the fractional Brownian sheet, starting from discrete random fields constructed from two-parameter strong martingales. This is an approximation in law of the fractional Brownian sheet in Skorohord space in the plane. 相似文献
16.
In this article we introduce cylindrical fractional Brownian motions in Banach spaces and develop the related stochastic integration theory. Here a cylindrical fractional Brownian motion is understood in the classical framework of cylindrical random variables and cylindrical measures. The developed stochastic integral for deterministic operator valued integrands is based on a series representation of the cylindrical fractional Brownian motion, which is analogous to the Karhunen–Loève expansion for genuine stochastic processes. In the last part we apply our results to study the abstract stochastic Cauchy problem in a Banach space driven by cylindrical fractional Brownian motion. 相似文献
17.
We construct the least-square estimator for the unknown drift parameter in the multifractional Ornstein–Uhlenbeck model and establish its strong consistency in the non-ergodic case. The proofs are based on the asymptotic bounds with probability 1 for the rate of the growth of the trajectories of multifractional Brownian motion (mBm) and of some other functionals of mBm, including increments and fractional derivatives. As the auxiliary results having independent interest, we produce the asymptotic bounds with probability 1 for the rate of the growth of the trajectories of the general Gaussian process and some functionals of it, in terms of the covariance function of its increments. 相似文献
18.
The authors introduce the inhomogeneous Besov space and the inhomogeneous Triebel-Lizorkin space on spaces of homogeneous type: and present their atom and molecule decompositions, their dual spaces and the complex interpolation theorems. They also establishe the relation between the homogoeneous Besov space and the inhomogeneous one, and between the homogeneous Triebel-Lizorkin space and the inhomogeneous one. Moreover, they establish T1 theorems for these inhomogeneous spaces when a≠0, and apply these T1 theorems to give new characterizations of these spaces. 相似文献
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20.
The authors introduce the inhomogeneous Besov space and the inhomogeneous Triebel-Lizorkin space on spaces of homogeneous type: and present their atom and molecule decompositions, their dual spaces and the complex interpolation theorems. They also establishe the relation between the homogoeneous Besov space and the inhomogeneous one, and between the homogeneous Triebel-Lizorkin space and the inhomogeneous one. Moreover, they establish T1 theorems for these inhomogeneous spaces when a≠0, and apply these T1 theorems to give new characterizations of these spaces. 相似文献