Upper classes for the increments of fractional Wiener processes
- Cite this article as:
- Ortega, J. Probab. Th. Rel. Fields (1989) 80: 365. doi:10.1007/BF01794429
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Let (X(t), t≧0) be a centred Gaussian process with stationary increments andEX2(t)=C0t2α for someC0>0, 0<α<1, and let 0<at≦t be a nondecreasing function oft withat/t nonincreasing. The asymptotic behaviour of several increment processes constructed fromX andat is studied in terms of their upper classes.