A Weak Convergence to Hermite Process by Martingale Differences

Xichao Sun and Ronglong Cheng

Advances in Mathematical Physics, 2014, vol. 2014, 1-10

Abstract:

We consider the weak convergence to general Hermite process of order with index . By applying martingale differences we construct a sequence of multiple Wiener-Itô stochastic integrals such that it converges in distribution to the Hermite process .

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlamp:307819

DOI: 10.1155/2014/307819

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