Article ID Journal Published Year Pages File Type
10527376 Stochastic Processes and their Applications 2005 25 Pages PDF
Abstract
The study relies on the weak convergence in an appropriate space of {Yαt/σ(α):t∈R} to a fractional Brownian motion with Hurst parameter H as α→∞. We prove this weak convergence under a fairly general condition on σ2, sharpening recent results of Kozachenko et al. (Queueing Systems Theory Appl. 42 (2002) 113). The core of the proof consists of a new type of uniform convergence theorem for regularly varying functions with positive index.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
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