A note on approximation to multifractional Brownian motion

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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Bibliographic Details
Published in:Science China. Mathematics 2011-10, Vol.54 (10), p.2145-2154
Main Authors: Dai, HongShuai, Li, YuQiang
Format: Article
Language:English
Subjects:
Applications of Mathematics
Approximation
Brownian motion
China
Construction
Mathematical analysis
Mathematics
Mathematics and Statistics
Representations
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Summary: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.
ISSN:1674-7283
1869-1862
DOI:10.1007/s11425-011-4246-1