A Decomposition and Weak Approximation of the Sub - Fbm
نویسنده
چکیده
We present a decomposition of the sub-fractional Brownian motion into the sum of a fractional Brownian motion plus a stochastic process with absolutely continuous trajectories. The first application we show of this decomposition is the relation between the spaces of integrable functions with respect each one of these three processes. A general result of weak convergence to integrals of L(R) functions with respect to standard Brownian motion is proved, and this result permits us to obtain approximations in law of the fractional Brownian motion and the sub-fractional Brownian motion with parameter H ∈ (0, 1).
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