STABLE SUB-GAUSSIAN MODELS CONSTRUCTED BY POISSON PROCESSES  

作　　者：戴洪帅 李育强 

机构地区：[1]Department of Mathematics, Central South University [2]School of Finance and Statistics, East China Normal University [3]College of Mathematics and Information Science, Guangxi University

出　　处：《Acta Mathematica Scientia》2011年第5期1945-1958,共14页数学物理学报（B辑英文版）

基　　金：supported by National Natural Science Foundation of China (10901054)

摘　　要：In this paper, we first prove that one-parameter standard α-stable sub-Gaussian processes can be approximated by processes constructed by integrals based on the Poisson process with random intensity. Then we extend this result to the two-parameter processes. At last, we consider the approximation of the subordinated fractional Brownian motion.In this paper, we first prove that one-parameter standard α-stable sub-Gaussian processes can be approximated by processes constructed by integrals based on the Poisson process with random intensity. Then we extend this result to the two-parameter processes. At last, we consider the approximation of the subordinated fractional Brownian motion.

关 键 词：stable sub-Gaussian process weak convergence Poisson process Riemann integral 

分 类 号：O211.5[理学—概率论与数理统计]