Weak convergence to the fractional Brownian sheet using martingale differences

作者：Wang, Zhi; Yan, Litan^*; Yu, Xianye

来源：Statistics & Probability Letters, 2014, 92: 72-78.

DOI：10.1016/j.spl.2014.04.014

• Fractional Brownian sheet
• Strong martingale
• Martingale differences
• Weak convergence

We establish an invariance principle for the fractional Brownian sheet, starting from discrete random fields constructed from two-parameter strong martingales. This is an approximation in law of the fractional Brownian sheet in Skorohord space in the plane.

• 出版日期2014-9
• 单位东华大学; 宁波工程学院