SOME LIMIT THEOREMS ON THE INCREMENTS OF A MULTI-PARAMETER FRACTIONAL BROWNIAN MOTION

Authors: Zheng-Yan Lin ^a; Yong-Kab Choi ^b; Kyo-Shin Hwang ^b

Affiliations:	^a Department of Mathematics, Zhejiang University, Hangzhou, Zhejiang, People's Republic of China
	^b Department of Mathematics, College of Natural Science, Gyeongsang National University, Chinju, Korea

DOI: 10.1081/SAP-100002099

Publication Frequency: 6 issues per year

Published in: journal

Stochastic Analysis and Applications, Volume 19, Issue 4 June 2001 , pages 499 - 517

Subjects: Statistics & Probability; Stochastic Models & Processes;

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Abstract

In this paper we establish limit inferior and limit superior results on the increments of a multi-parameter fractional Brownian motion, via estimating upper bounds of large deviation probabilities on the suprema of the fractional Brownian motion.

Keywords: Multi-parameter fractional Brownian motion; Large deviation probability; Limit superior and limit inferior; AMS 1991 Subject Classifications 60F15, 60G15

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SOME LIMIT THEOREMS ON THE INCREMENTS OF A MULTI-PARAMETER FRACTIONAL BROWNIAN MOTION

Abstract