A note on ergodic transformations of self-similar Volterra Gaussian processes

被引：7

作者：

Jost, Celine ^{[1
]}

机构：

[1] Univ Helsinki, Dept Math & Stat, FIN-00014 Helsinki, Finland

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2007年 / 12卷

关键词：

Volterra Gaussian process; self-similar process; ergodic transformation; fractional Brownian motion;

D O I：

10.1214/ECP.v12-1298

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We derive a class of ergodic transformations of self-similar Gaussian processes that are Volterra, i.e. of type X-t = integral(t)(0) z(X)(t, s) dW(s), t is an element of [0,infinity), where z(X) is a deterministic kernel and W is a standard Brownian motion.

引用

页码：259 / 266

页数：8

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