A Fractional Donsker Theorem

作者：Parczewski Peter^*

来源：Stochastic Analysis and Applications, 2014, 32(2): 328-347.

DOI：10.1080/07362994.2013.866521

• Fractional Brownian motion
• Invariance principle
• Weak convergence

We prove a Donsker-type approximation of the fractional Brownian motion which extends a result by Sottinen for the case H %26gt; 1/2 to the full range of Hurst parameters H is an element of(0, 1). The convergence is established by a Donsker-type theorem for Volterra Gaussian processes. The approximation is applied to weak convergence of fractional Wiener integrals.

• 出版日期2014