Work

Approximation in law to the $d$-parameter fractional Brownian sheet based on the functional invariance principle

Year: 2005

Type: article

Abstract: We show a result of approximation in law of the d -parameter fractional Brownian sheet in the space of the continuous functions on [0,T]^d . The construction of these approximations is based on the functional invariance principle.

Source: Revista Matemática Iberoamericana

DOI: 10.4171/rmi/444

Authors: Xavier Bardina, Carme Florit

Institution: Universitat Autònoma de Barcelona

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2044936740

FWCI: 0.57

Cites: 12

Cited by: 17

Related to: 10