A note on approximation to multifractional Brownian motion

被引：2
|
作者：
Dai HongShuai [1 ]
Li YuQiang [2 ]
机构：
[1] Guangxi Univ, Coll Math & Informat Sci, Nanning 530004, Peoples R China
[2] E China Normal Univ, Sch Finance & Stat, Shanghai 200241, Peoples R China
来源：
SCIENCE CHINA-MATHEMATICS | 2011年 / 54卷 / 10期
基金：
中国国家自然科学基金;
关键词：
multifractional Brownian motion; fractional Brownian motion; Poisson process; weak convergence;
D O I：
10.1007/s11425-011-4246-1
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we prove approximations of multifractional Brownian motions with moving-average representations and of those with harmonizable representations in the space of continuous functions on [0, 1]. These approximations are constructed by Poisson processes.
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页码：2145 / 2154
页数：10
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