A weak limit theorem for generalized multifractional Brownian motion

作者:Dai, Hongshuai*; Li, Yuqiang
来源:Statistics & Probability Letters, 2010, 80(5-6): 348-356.
DOI:10.1016/j.spl.2009.11.009

摘要

We provide a result on an approximation to the generalized multifractional Brownian motion in the space of continuous functions on [0, 1]. The construction of this approximation is based on the Poisson process.