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 Electronic Communications in Probability > Vol. 12 (2007) > Paper 25 open journal systems 


A note on ergodic transformations of self-similar Volterra Gaussian processes

Céline Jost, University of Helsinki


Abstract
We derive a class of ergodic transformation of self-similar Gaussian processes that are Volterra, i.e. of type X_t = int^t_0 z_X(t,s)dW_s, t in [0,infty), where z_X is a deterministic kernel and W is a standard Brownian motion.


Full text: PDF

Pages: 259-266

Published on: August 25, 2007


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Electronic Communications in Probability. ISSN: 1083-589X