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- W4301751421 abstract "We introduce a new class of self-similar Gaussian stochastic processes, where the covariance is defined in terms of a fractional Brownian motion and another Gaussian process. A special case is the solution in time to the fractional-colored stochastic heat equation described in Tudor (2013). We prove that the process can be decomposed into a fractional Brownian motion (with a different parameter than the one that defines the covariance), and a Gaussian process first described in Lei and Nualart (2008). The component processes can be expressed as stochastic integrals with respect to the Brownian sheet. We then prove a central limit theorem about the Hermite variations of the process." @default.
- W4301751421 created "2022-10-05" @default.
- W4301751421 creator A5033842662 @default.
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- W4301751421 date "2015-08-26" @default.
- W4301751421 modified "2023-09-27" @default.
- W4301751421 title "Decomposition and limit theorems for a class of self-similar Gaussian processes" @default.
- W4301751421 doi "https://doi.org/10.48550/arxiv.1508.06641" @default.
- W4301751421 hasPublicationYear "2015" @default.
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