STABLE SUB-GAUSSIAN MODELS CONSTRUCTED BY POISSON PROCESSES

• 作 者: 戴洪帅 李育强
• 机 构: DepartmentofMathematics,SchoolofFinanceandStatistics,CollegeofMathematicsandInformationScience
• 出 处: 数学物理学报：B辑英文版
• 发表日期: 2011年5期
• 关键词: 泊松过程 高斯过程 稳定子 构建模型 SUB 分数布朗运动 积分 stable sub-Gaussian process weak convergence Po
• 基金项目: supported by National Natural Science Foundation of China （10901054）

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 process