A Weak Convergence to Hermite Process by Martingale Differences

الملخص EN

We consider the weak convergence to general Hermite process ZH,k of order k with index H.

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 process ZH,k.