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
收藏
页码：259 / 266
页数：8
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