When is a linear combination of independent fBm's equivalent to a single fBm?

J.H. Zanten, van

    Research output: Contribution to journalArticleAcademicpeer-review

    22 Citations (Scopus)

    Abstract

    We study and answer the question posed in the title. The answer is derived from some new necessary and sufficient conditions for equivalence of Gaussian processes with stationary increments and recent frequency domain results for the fBm. The result shows in particular precisely in which cases the local almost sure behaviour of a linear combination of independent fBm’s is the same as that of a multiple of a single fBm.
    Original languageEnglish
    Pages (from-to)57-70
    JournalStochastic Processes and their Applications
    Volume117
    Issue number1
    DOIs
    Publication statusPublished - 2007

    Fingerprint Dive into the research topics of 'When is a linear combination of independent fBm's equivalent to a single fBm?'. Together they form a unique fingerprint.

    Cite this