Title of article
When is a linear combination of independent fBm’s equivalent to a single fBm?
Author/Authors
van Zanten، نويسنده , , Harry، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
14
From page
57
To page
70
Abstract
We study and answer the question posed in the title. The answer is derived from some new necessary and sufficient conditions for equivalence of Gaussian processes with stationary increments and recent frequency domain results for the fBm. The result shows in particular precisely in which cases the local almost sure behaviour of a linear combination of independent fBm’s is the same as that of a multiple of a single fBm.
Keywords
Equivalence , Fractional Brownian motion , Frequency domain , Reproducing kernels , Stationary increments
Journal title
Stochastic Processes and their Applications
Serial Year
2007
Journal title
Stochastic Processes and their Applications
Record number
1577851
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