RUS  ENG
Full version
JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2003 Volume 298, Pages 134–149 (Mi znsl1167)

On random broken lines weakly converging to fractional Ornstein–Uhlenbeck process

A. V. Liber, O. V. Rusakov

Saint-Petersburg State University

Abstract: The behavior of sequences of continuous broken lines corresponding to sums of stationary sequences is studied. Conditions of weak convergence of distributions of these broken lines to Gaussian processes of Ornstein–Uhlenbeck type and fractional Brownian movement type are established.

UDC: 519.2

Received: 10.09.2003


 English version:
Journal of Mathematical Sciences (New York), 2005, 128:1, 2569–2577

Bibliographic databases:


© Steklov Math. Inst. of RAS, 2024