Behavior of the Hermite sheet with respect to theHurst index.

We consider a d -parameter Hermite process with Hurst index H = (H 1 ,.. , H d) ∈ 1 2 , 1 d and we study its limit behavior in distribution when the Hurst parameters H i , i = 1 ,.. , d (or a part of them) converge to 1 2 and/or 1. The limit obtained is Gaussian (when at least one parameter tends to 1 2) and non-Gaussian (when at least one-parameter tends to 1 and none converges to 1 2). [ABSTRACT FROM AUTHOR]