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Convergence in Fractional Models and Applications


 
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1. Title Title of document Convergence in Fractional Models and Applications
 
2. Creator Author's name, affiliation, country Corinne Berzin; LabSad, Université Pierre Mendès-France
 
2. Creator Author's name, affiliation, country José Rafael León; Universidad Central de Venezuelz
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Level crossings; fractional Brownian motion; limit theorem; local time; rate of convergence
 
3. Subject Subject classification 60F05; 60G15; 60G18; 60H10; 60J55; 62H12; 62H15
 
4. Description Abstract We consider a fractional Brownian motion with Hurst parameter strictly between 0 and 1. We are interested in the asymptotic behaviour of functionals of the increments of this and related processes and we propose several probabilistic and statistical applications.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) The research of the second author was suported in part by the project
 
7. Date (YYYY-MM-DD) 2005-03-04
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/172
 
10. Identifier Digital Object Identifier 10.1214/EJP.v10-172
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 10
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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