06 - Invariance principle, multifractional Gaussian processes and long-range dependence - Renaud MARTY

We establish an invariance principle where the limit process is a multifractional Gaussian process with a multifractional function which takes its values in (1/2, 1). Some properties, such as regularity and local self-similarity, of this process are studied. Moreover the limit process is compared to the multifractional Brownian motion. Renaud MARTY. Université Nancy1. Document associé : support de présentation : http://epi.univ-paris1.fr/servlet/com.univ.collaboratif.utils.LectureFichiergw?CODE_FICHIER=1207750851448 (pdf) Ecouter l'intervention : Bande son disponible au format mp3 Durée : 32 mn