An infinite dimensional central limit theorem for correlated martingales
Ilie Grigorescu (2004)
Annales de l'I.H.P. Probabilités et statistiques
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Displaying similar documents to “Density formula and concentration inequalities with Malliavin calculus.”
An infinite dimensional central limit theorem for correlated martingales
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Properties of local-nondeterminism of Gaussian and stable random fields and their applications
Yimin Xiao (2006)
Annales de la faculté des sciences de Toulouse Mathématiques
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In this survey, we first review various forms of local nondeterminism and sectorial local nondeterminism of Gaussian and stable random fields. Then we give sufficient conditions for Gaussian random fields with stationary increments to be strongly locally nondeterministic (SLND). Finally, we show some applications of SLND in studying sample path properties of -Gaussian random fields. The class of random fields to which the results are applicable includes fractional Brownian motion, the...
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Boufoussi, Brahim, Dozzi, Marco E., Guerbaz, Raby (2008)
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Hambly, Ben M., Jones, Liza A. (2007)
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Matsui, Muneya, Shieh, Narn-Rueih (2009)
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Davar Khoshnevisan (1997)
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Enhanced Gaussian processes and applications
Laure Coutin, Nicolas Victoir (2009)
ESAIM: Probability and Statistics
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We propose some construction of enhanced Gaussian processes using Karhunen-Loeve expansion. We obtain a characterization and some criterion of existence and uniqueness. Using rough-path theory, we derive some Wong-Zakai Theorem.
Rate of convergence to the Rosenblatt distribution for additive functionals of stochastic processes with long-range dependence.
Leonenko, N.N., Anh, V.V. (2001)
Journal of Applied Mathematics and Stochastic Analysis
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Invariance principle, multifractional gaussian processes and long-range dependence
Serge Cohen, Renaud Marty (2008)
Annales de l'I.H.P. Probabilités et statistiques
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This paper is devoted to establish an invariance principle where the limit process is a multifractional gaussian process with a multifractional function which takes its values in (1/2, 1). Some properties, such as regularity and local self-similarity of this process are studied. Moreover the limit process is compared to the multifractional brownian motion.