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math.PR2020
How does tempering affect the local and global properties of fractional Brownian motion?
Ehsan Azmoodeh, Yuliya Mishura, Farzad Sabzikar
The present paper investigates the effects of tempering the power law kernel of moving average representation of a fractional Brownian motion (fBm) on some local and global propert…
math.PR2020
Multi-Dimensional Normal Approximation of Heavy-Tailed Moving Averages
Ehsan Azmoodeh, Mathias Mørck Ljungdahl, Christoph Thäle
In this paper we extend the refined second-order Poincaré inequality for Poisson functionals from a one-dimensional to a multi-dimensional setting. Its proof is based on a multivar…