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Approximation of Some Gaussian Processes |
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| Authors: | Philippe Carmona Laure Coutin G. Montseny |
| Affiliation: | (1) Laboratoire de Statistique et Probabilités, Université Paul Sabatier, 118 Route de Narbonne, 31062 Toulouse Cedex 4, France;(2) Laboratoire de Statistique et Probabilités, Université Paul Sabatier, 118 Route de Narbonne, 31062 Toulouse Cedex 4, France |
| Abstract: | We study a class of processes which have a moving average representation with respect to a fixed driving martingale, and can be represented as a mixture of semi-martingale processes. When the driving martingale is Gaussian we obtain a numerically efficient approximation scheme and a central limit theorem (a typical process in this class is fractional Brownian motion). |
| Keywords: | Gaussian processes fractional Brownian motion numerical approximation |
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