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
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
Journal title :
Stochastic Processes and their Applications