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On the size of the increments of nonstationary Gaussian processes

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  • Ortega, Joaquín

Abstract

Let {X(t), t[greater-or-equal, slanted]0} be a centred nonstationary Gaussian process with EX2(t) = C0t2[alpha] for some C0 > 0, 0 [infinity] is studied where I(T, aT) = sup{X(t')-X(t): 0[less-than-or-equals, slant]t

Suggested Citation

  • Ortega, Joaquín, 1984. "On the size of the increments of nonstationary Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 18(1), pages 47-56, September.
    • Handle: RePEc:eee:spapps:v:18:y:1984:i:1:p:47-56
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    Cited by:

    1. Lin, Zheng Yan & Choi, Yong-Kab, 1999. "Some limit theorems for fractional Lévy Brownian fields," Stochastic Processes and their Applications, Elsevier, vol. 82(2), pages 229-244, August.
    2. Yonghong Liu & Yongxiang Mo, 2019. "Chung’s Functional Law of the Iterated Logarithm for Increments of a Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 32(2), pages 721-736, June.
    3. Lin, Zhengyan & Hwang, Kyo-Shin & Lee, Sungchul & Choi, Yong-Kab, 2004. "Path properties of a d-dimensional Gaussian process," Statistics & Probability Letters, Elsevier, vol. 68(4), pages 383-393, July.
    4. Yong-Kab Choi, 2004. "Path properties of (N;d)-Gaussian random fields," RePAd Working Paper Series lrsp-TRS393, Département des sciences administratives, UQO.
    5. Wang, Wensheng & Xiao, Yimin, 2019. "The Csörgő–Révész moduli of non-differentiability of fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 150(C), pages 81-87.
    6. Lee, Cheuk Yin & Xiao, Yimin, 2022. "Propagation of singularities for the stochastic wave equation," Stochastic Processes and their Applications, Elsevier, vol. 143(C), pages 31-54.
    7. Wang, Wensheng, 2019. "Asymptotics for discrete time hedging errors under fractional Black–Scholes models," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 160-170.

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