A Weak Convergence to Hermite Process by Martingale Differences
We consider the weak convergence to general Hermite process ZH,k of order k with index H. By applying martingale differences we construct a sequence {ZH,kn , n=1,2,…} of multiple Wiener-Itô stochastic integrals such that it converges in distribution to the Hermite process ZH,k.
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2014-01-01
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| Series: | Advances in Mathematical Physics |
| Online Access: | http://dx.doi.org/10.1155/2014/307819 |