pith. sign in

arxiv: 1706.03890 · v1 · pith:4ZREJUDBnew · submitted 2017-06-13 · 🧮 math.PR

Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes

classification 🧮 math.PR
keywords alphasymmetricgaussianproveriemmanself-similarsumsassumptions
0
0 comments X p. Extension
pith:4ZREJUDB Add to your LaTeX paper What is a Pith Number?
\usepackage{pith}
\pithnumber{4ZREJUDB}

Prints a linked pith:4ZREJUDB badge after your title and writes the identifier into PDF metadata. Compiles on arXiv with no extra files. Learn more

read the original abstract

We study the asymptotic behavior of the $\nu$-symmetric Riemman sums for functionals of a self-similar centered Gaussian process $X$ with increment exponent $0<\alpha<1$. We prove that, under mild assumptions on the covariance of $X$, the law of the weak $\nu$-symmetric Riemman sums converge in the Skorohod topology when $\alpha=(2\ell+1)^{-1}$, where $\ell$ denotes the smallest positive integer satisfying $\int_{0}^{1}x^{2j}\nu(dx)=(2j+1)^{-1}$ for all $j=0,\dots, \ell-1$. In the case $\alpha>(2\ell+1)^{-1}$, we prove that the convergence holds in probability.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.