A weak limit theorem for generalized multifractional Brownian motion

Hongshuai Dai and Yuqiang Li

Statistics & Probability Letters, 2010, vol. 80, issue 5-6, 348-356

Abstract: We provide a result on an approximation to the generalized multifractional Brownian motion in the space of continuous functions on [0, 1]. The construction of this approximation is based on the Poisson process.

Date: 2010
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