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From Hermite Polynomials to Multifractional Processes
Published online by Cambridge University Press: 30 January 2018
Abstract
We consider a class of multifractional processes related to Hermite polynomials. We show that these processes satisfy an invariance principle. To prove the main result of this paper, we use properties of the Hermite polynomials and the multiple Wiener integrals. Because of the multifractionality, we also need to deal with variations of the Hurst index by means of some uniform estimates.
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- © Applied Probability Trust
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