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A note on ergodic transformations of self-similar Volterra Gaussian processes
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Céline Jost, University of Helsinki
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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.
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Full text: PDF
Pages: 259-266
Published on: August 25, 2007
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Electronic Communications in Probability. ISSN: 1083-589X |
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