Limit theorems for functionals of two independent Gaussian processes

28 Jan 2018  ·  Song Jian, Xu Fangjun, Yu Qian ·

Under certain mild conditions, some limit theorems for functionals of two independent Gaussian processes are obtained. The results apply to general Gaussian processes including fractional Brownian motion, sub-fractional Brownian motion and bi-fractional Brownian motion... A new and interesting phenomenon is that, in comparison with the results for fractional Brownian motion, extra randomness appears in the limiting distributions for Gaussian processes with nonstationary increments, say sub-fractional Brownian motion and bi-fractional Brownian. The results are obtained based on the method of moments, in which Fourier analysis, the chaining argument introduced in \cite{nx1} and a paring technique are employed. read more

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Probability