A Weak Convergence to Hermite Process by Martingale Differences

Xichao Sun, Ronglong Cheng
2014 Advances in Mathematical Physics  
We consider the weak convergence to general Hermite processZH,kof orderkwith indexH. By applying martingale differences we construct a sequence{ZH,kn , n=1,2,...}of multiple Wiener-Itô stochastic integrals such that it converges in distribution to the Hermite processZH,k.
doi:10.1155/2014/307819 fatcat:hkhd7pweczay5oiuhybj6jfpkq